Installing JBoss AS is easy - unzip the zip file. Running it is easy - make sure JAVA_HOME is set to a JDK directory and go to the bin directory and start the run script.
What you are attempting to do is something entirely different - replace HSQLDB with MySQL (at least I think you are using MySQL, your post is not really clear on that). You do not need to do that. You can leave DefaultDS using HSQLDB and simply create a new data source (name it anything other than DefaultDS) that uses MySQL for your apps.