If I understand correctly, you don't want any form of clustering or HA so the server intances all work "standalone". In that case, sharing a DB is purely as a persisten storage. There should be no problem with configuration, just set it up with different MSSQL accounts so you don't accidentaly damange data in case of misconfiguration. This however imposes more load on the DB server and if you app grows you will have to migrate the DBs which is always a pain. But if performance is not an issue, sharing the same DB is no an issue either.
If you wanted to use clustering and clustered queues, then you would have to share a single DB instances in order to guarantee HA (if one server crashes, the messages are still in DB and the other server takes over responsibility to deliver those messages).
Configuration and docs, read on http://docs.redhat.com/
Additional to Radoslav's comment.
You use 4.2 and this will have JBossMQ as JMS provider.
If you will not have any cluster/failover as I understand, the only thing is to use different user/scheme for both servers.
Otherwise you will have no control which instance will handle the messages