Please mention the exact version of JBM you are using, or it will be very hard for anyone to help you.
Also please note that the HTTP transport is part of the JBoss Remoting project (not JBoss Messaging) so you might be better off asking in their forum
Sorry, I meant to include the version info in the original post but then forgot. We're using JBoss 4.2.2 app server with JBM 1.4.0.SP3. I thought about posting in the remoting forum also but then I thought maybe it had more to do with how we've written the client. Using a MessageListener would seem to be the proper way of doing it, though the simple HTTP example uses the synchronous receive() call, so it wasn't clear if that was the proper way to do it when using the HTTP transport.
I guess I'll post over in remoting also to see if anyone there has any ideas.