The issue you are having is a problem with looking up the MBeanServer not a problem with JBoss Messaging per se.
It's probably that you're simply not including the correct jars on the classpath. To find out which jars to include please post on the JMX users forum.
Problem resolved! It turns out that the problem had nothing to do with lack of a security manager. The problem was that I did not have all the jar files required in my classpath. The jar files are contained in the [jboss_home]/server/messaging/lib directory.
Thanks for your help, Tim!