Well champ, EJB 2.0 is too old now. The current version of this technology is 3.1.
The thing is, application servers (such as JBoss, Glassfish, Websphere, etc) provide support for specific JSRs. For instance, JBoss 4.0.0 provides support for EJB 2.1, which is JSR 153, and thus, JBoss 4.0.0 is an EJB 2.1-compliant server. JBoss 7.0.2 provides support for JSR 318, that is, EJB 3.1. And there are other JSRs that must be supported by application servers.
What you can do to run your examples is go to the JBoss Download Page and download, for instance, the latest version of JBoss 3.2, which is EJB 2.0-compliant. Then, follow the instructions that you already have.
Well champ, I don't know exactly what version of the EJB technology is covered in the HeadFirst EJB book. Actually, when I started learning EJBs, it was already EJB 3. But EJB 2.x are very outdated today, and I can tell you that 99,9% of the new applications do not use them nowadays. But, in order to complete your tasks in the university, I think this book will do, because they cover what you are studying.
To study the latest EJB specification, I'd recommend Enterprise JavaBeans 3.1 (I used Enterprise JavaBeans 3 to study for the certification). It is a good book.
What about this downlaod JEE x.x do i have to do this when i have the Java 7 installed (jdk 1.7.0) i.e jdk and JEE are different ?
Well, if you look at the Java page, you'll see that JSE SDK and JEE SDK are different. When you download JEE SDK, you are able to also develop web applications. If you download JSE SDK, you'll only be able to develop desktop applications. Here's what I usually do: I only download JSE SDK, and in my IDE (Eclipse JEE), I install a web container/application server. These guys provide libraries that allow us to develop web applications as well.
I just had a look at your profile and you have experience so i would like to know that how should a newbie in programming (basically Java ) should cope-up or maintain the sync with all these changes?
Well, I'm still trying to figure out how we can stay in sync with everything I try to understand as much as possible about everything, but try to target on one particular thing. I have been focusing on Domain-Driven Design lately. You can at least go for a "Hello World" for the things you find, and dive a bit more in one thing that you choose. To stay tunned with the latest stuff, you can use some sites, like, The Server Side, or InfoQ. These are excellent sites that will help you stay tunned with the latest things of the Java world.