Download and install the Sun JDK. Either the latest 1.4.2 or 1.5 will do. Set JAVA_HOME to reference the installation directory.
Download the jboss-4.0.3SP1.tar.gz file and unpack it. I put mine at /opt/jboss-4.0.3SP1, but you can put it in your home directory if you like.
To run it, go to the bin directory (/opt/jboss-4.0.3SP1/bin on my PC) and enter './run.sh', and after you see the "Started in xxx seconds" message, open a browser to the URL http://localhost:8080.