Fixed by some simple jar files copied.
You might want to list down the steps here (or in a wiki article) so that other users who try this will benefit from your list.
1.)Get a fresh copy of JBoss 5.1.0GA.
2.)Get a fresh copy of HornetQ 2.2.2
3.)Set the environment variable JBOSS_HOME to your JBoss folder
4.)Go to %HornetQ_Home%/config/jboss-as-5/ and run build.bat
5.)There should be a folder default-with-hornetq created which contains the latest HornetQ.
6.)Run the default-with-hornetq profile using run.bat -c default-with-hornetq