You don't have to know EJBs before using JMS. I mean JMS came out first and now, starting with EJB 2.0 the Message Driven Beans are using JMS. If the question would have been "Do I have to know EJBs before using Message Driven Beans?" then the answer would be
you should know the priciples behind EJB technology in order to use any kind of EJBs, but as the MDBs are not dirrectly related to Session Beans or Entity Beans knowing all of them is not mandatory. You can start out by learning dirrectly Message Driven Beans.