Yep, I also think the As installer options are a little confusing.
Anyway, what you actually need to do is download the JEMS installer, run it, and select the EJB3 profile:
An alternative is to simply uncompress the jboss-4.0.5.GA.zip file and then patch the server to support EJB 3. The EJB 3 patch can be downloaded from:
Then you should be able to install the ESB and run the quickstarts. It worked for me.