If you get an error saying ejb not bound it means that it is not bound.
If you are getting errors running the JMX Console you have not installed JBoss properly, you need to sort this out before trying to deploy your component.
What folder have you installed JBoss into?
What folder have you installed the JDK into?
What is the JAVA_HOME environment variable set to?
What is your JDK version?
What is your JBoss version?
Are there any errors being reported on the console on startup? If you are seeing errors post the error and associated stack trace.
What URL are you using to acess the jmx console?