I installed the JBOSS 4.2.1.GA and it work. I followed the tutorial to create a war file and place my project war file to server\...\deploy\ and it work too.
Can I place my project war file somewhere else to run? i hope it will work like the Apache Virtual Host. In Apache we can create the vhost folder anywhere and setup the system point to that folder.
Check out the URLs attribute at the end of server/xxx/data/jboss-service.xml.