well lets get from the beginning.For server components
jsp,
servlets you can use web server.There are many web servers available in the market.You will be using the application server if you want to handle
EJB's.Websphere appln server can handle both your web as well ejb requests ..Lets say you want to develop a
struts appln which consists of login process where you have to validate the user name againt some pre specified rules of yours and store it in db.In this case once you click cubmit , the requests goes to action class , from action the request is routed to ejb and then to the database.Business validations are done in EJB and all connections to db, queues ,JAAS authenitication (jndi,
jdbc) all supports are provided by application server.You can donwload latest
java appln server for free from java.sun.com and try your hands on it.