Just to clarify.
I'm running on XP with MySQL 4.1 (using mysql-connector-java-3.1.11-bin.jar). I can see a lot of tables being created in the database, so I assume the JDBC connector is working. I have followed the instructions to the best of my knowledge. I have uninstalled everything and reinstalled Java JRE 1.5.0_06 (and I also tried with JDK 1.5.0_05), JBoss AS 4.0.3 (using jboss-4.0.3sp1-installer.jnlp) and Portal 2.0.
I am a JBoss newbie, but I don't normally struggle this much with install of out-of-the-box software. Do you think it is likely that the problem has to do with a missing DB component?