1) You should not be using JBoss AS 5.0.0.CR2, you should be using 5.1.0.GA or 6.0.0.FINAL instead. Both of those will work with Eclipse Helios, assuming you also load the JBoss Tools plugin into Eclipse.
2) Both 5.1.0.GA and 6.0.0.FINAL support JDK 6. If you use 5.1.0.GA, make sure you download the file that has "jdk6" in its name (jboss-5.1.0.GA-jdk6.zip). 6.0.0.FINAL required JDK 6 (it won't run with JDK 5).
3) Within Eclipse, create a server and add the EJB project to it. Start the server. (Actually, if you are new to this, you really should manually start the server from the command line and manually deploy the EJB. If you need more help on this, ask in the JBoss forum.)