Download, unzip (to a directory without spaces), call "run.bat" or "run.sh", depending on your OS.

Take care of Java versions: there is a download of JBoss (jboss-5.0.1.GA.zip) which is for Java 1.5 (and might not work with 1.6. Another download (jboss-5.0.1.GA-jdk6.zip) is for Java 1.6 and will not run with 1.5.

Hope this helps

Wolfgang