A few suggestions:
1) The current version of the servlet spec is 2.4, but 2.3 is by far the current standard (2.4 is VERY new and not totally supported). I am guessing that if you have JSDK 2.1 and type startserver to get a 'server' running, it is 2.1. Many new features have been added. I suggest going
here for the latest. Getting j2ee.jar (1.3) will not only give you the latest servlet stuff but many other useful APIs. Putting j2ee.jar in your compile path will let you write code against the servlet API. j2ee.jar or servlet.jar are not needed at deploy time since the server is aware of them.
2) For a very good webserver that is easy to install and get started on, I suggest
Tomcat. The most current version of 4.x.x supports servlet spec 2.3 with version 5.x.x supporting 2.4. You can get an .exe installer that will get the server up and running for you.
3) Do a bit of research, but once you understand the web.xml and .war layouts/standards, you can easily plug the latest version of your apps into Tomcat or just develop from the Tomcat directories.