The JEMS installer was for later versions of 4.0.x, and it was often used to install preview EJB3 capability into the AS. Since 4.2.x and 5.x come with EJB3 support built in the JEMS installer is no longer used.
By the way, the JEMS installer also offered a mechnism to configure an app server containing only selected features. However, this capabiltiy often lead to problems as a quick search of the forum entries from 2 or 3 years ago will testify.
Oh, and the only way to install is unzip the ZIP file.