You are missing some step in your instalation.
If you could describe how you're installing we would be able to help you.
(Have you followed the installation steps at http://labs.jboss.com/file-access/default/members/jbossmessaging/freezone/docs/userguide-1.3.0.GA/html/installation.html ?)
BTW: This forum you have used is for the legay JBoss MQ, you should be using the JBoss Messaging user's forum at http://www.jboss.com/index.html?module=bb&op=viewforum&f=238)
I will move the thread (leaving a shadow for future reference)