Hi, as long as I know Websphere 4.0 supports EJB1.1 and MDB are new to EJB2.0 specs. so it does not support, but you should take a look at IBM site cause maybe they can have some service pack to upgrade it, try to ask this at Websphere forum here in JavaRanch that you may have a confirmation of that. regards.
A set of Enterprise Extensions can be applied to Websphere 4.0, one feature of which is "Extended Messaging support". This allows you to implement the "onMessage" method in a Session bean and define a queue to listen to in a deployment descriptor. The appserver then manages the asynchronous delivery of messages to an instance of your bean. As the onMessage method has the same signature as that used in MDB's it should be easy to convert your session beans when Websphere implements EJB 2.0