Depending on how comfortable you already are with J2EE...
If you're just starting out perhaps reading through a book like K&B's "Head First EJB" is a good way to learn the concepts.
If you're ready to play with some code then download an app server (such as the
1.3.1 RI and go through one Sun's
J2EE Tutorials. Pick one of the J2EE 1.3 tutorials there to start (there are many others from Google.) Try developing an end-to-end example (JSP +
servlet + session bean + entity beans --> database [and all the way back].)
Beyond that you can go through the
Java Pet Store 1.3 example application. The Pet Store isn't realistic, but it is well documented and uses various design
patterns worth studying about.
I keep mentioning 1.3 instead of 1.4 since the J2EE 1.4 tutorials out there seem overly complicated for some reason (showing off new features instead of the fundamentals.)
If you're a structure-oriented person, then it's a good idea to study for the SCWCD & SCBCD exams, or at least use the exam objectives to as your own study guide.
Lastly, don't get frustrated, it's a long journey (which never ends, really) but rewarding in many levels. I was already a very experienced C++ developer before embarking on J2EE, yet it took me quite awhile before everything finally "clicked" together.
HTH,
-Ade Barkah