I downloaded the latest j2ee JDK_1.4 (the one bundled with the application server), and installed it. I pointed my IDE to the jdk directory inherent in the directory structure created by the jdk installer. I still get the error. javax.jms is nowhere to be found.
Must be something to do with how you are configuring your IDE. Which one is it? Which directory did you point it to? You might like to ask this question in the IDE forum. javax.jms is definitely part of J2EE.