Objects are key in object-oriented programming. Objects have two characteristics, state & behavior. And they represent real world objects (chair,cat etc..) You will find Sun's Explanation very much helpful.
EJB is a huge topic. It's sole purpose is to introduce component based development which enables reusability of components, scalability,lifecycle management etc... You may find very good articles/guides/tutorials in the web. Take a look at SUN's EJB Tutorial.