Well, JBoss is over v3.2.1 already now.
And what is 40 MB? it takes a couple of hours to download it even through a modem connection. Or you don't have to do it with Oracle server?

Do you have it on the CD then?
Though, JBoss is an excellent server, I wouldn't recommend it if you are an EJB newbie. You will sink in the amount of work if you try to accomplish it only with your hands.
They have an Eclipse plugin for JBoss descriptors editing, but I'm a fan of XDoclet
J2EE RI will be ok for a start. Has a GUI, not to many options to tweak. What about Sun ONE Server 7? Sun have a developer's edition and a platform edition which is free for deployment even. Though, don't ask me for the links, look at the Sun's site.