I don't have a 4.0.5 AS right now. For AS 4.2.3 GA you can find these classes in jboss-annotations-ejb3.jar (which is under server/servername/deploy/ejb3.deployer folder). I guess it would probably be the same for 4.0.5
I advice you to use the Eclipse Web Tools Platform plugin (or the JBoss Tools plugin, which is based on this) to create/edit your EJB projects.
You have to create a JBoss server, and have to create non-plain-Java-projects, but a WebTools specific "EJB project". This way, all required server JARs are on your classpath.
Hope this very short explanation helps