Hi Sherry.
The SDK you downloaded is just the API needed (libraries) etc to run J2EE applications. You also need an application server that implements this J2EE specification. Usually you only need to download the application server itself that comes bundled with the SDK(so you don't need the j2ee1.4sdk download).
It is the same with the tomcat webserver for example:
You can download the j2se JDK and the
servlets API etc...(like you probably did sometime in the past), but in order to program and display web pages you need a web server that supports
jsp pages etc like tomcat.
Here in the J2EE environment it is the same idea: We need an Application Server to run the EJBs and other stuff we have with the J2EE SDK.
Hope it made it a bit clearer.
As for your choices for application servers:
There are many out there that support J2EE 1.4. Some you need to pay for like Weblogic or Websphere, but others are free.
The most popular one free one is called JBoss.
The one you found is the application server that sun made - version 8.1 i think is their latest.
I recommend either Jboss or the sun application server if you want it to be free.