This week's book giveaway is in the Testing forum. We're giving away four copies of The Way of the Web Tester: A Beginner's Guide to Automating Tests and have Jonathan Rasmusson on-line! See this thread for details.
Did you create a Java project, or a Dynamic Web Project? If you create the later, you should be able to set breakpoints in JSP files. (By the way, I hope that you don't have server-side script in your JSP...)