Did you set JAVA_HOME to point to your JDK root directory? The JSP engine (Jasper) requires the tools.jar to compile JSPs into Java class files, and Jboss needs to have the location of a JDK. This is most likely the reason you are not compiling (generating) the JSP.
Typically, your startup output will contain something like the following if JAVA_HOME is correctly configured.
JBoss Bootstrap Environment
JAVA_OPTS: -Xms64m -Xmx128m -Djava.awt.headless=true -Djava.io.tmpdir=/jetty -Dprogram.name=run.sh
Note that the CLASSPATH should locate files that do exist. In my example, the JDK home directory (JAVA_HOME) is /usr/local/java.
Get the free or paid-for JBoss documentation for more information on configuration but hopefully this will get you a start.
If you are still having problems, post some information on your JDK and the output fragment as shown here.