What do you want to do?
If you want to set up a server with some existing Beans: Please check the documentation of that "application" or ask the developers, what you need ...
If you want to start some development, you should start with reading documentation. There are some free Books available, that would be helpfull. And there are tutorials (e.g at java.sun.com).
If you start with reading documentation, then you will also see, which package contains the things you need.
If you just want to get the JBoss Server up and running, then you could start with the java 1.4 J2SE Package.
Install it and after that "install" JBoss. Run the startup-Script and hey: JBoss is up and running :)
I had memory issues using different versions of the 1.3 vm on linux and I have standardized on the 1.4 vm with no problems.