This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
If you have not yet done so, download and install the "Eclipse for Java EE Developers" package from the Eclipse download site. That has all of the tools (and plugins) you will need to develop EJBs.
Actually, if you want to roll things by hand, any basic flavor of Eclipse will do, but then you will be on your own in editing config file, creating classes and writing code. Which, by the way, is really the best way to learn any Java technology, including EJBs. Save the plugins for after you know what you are doing, because then when the plugin screws up (and it will), you will at least know what it did wrong and can fix it yourself.