You can deploy applications (packaged as, for example, EAR or WAR files) by copying them to the server/default/deploy directory.
Look at the free chapter for JBoss In Action at http://www.manning.com/jamae. It will get you started with a simple hello world app. And it explains basic operations and the directory structure. One warning, though: JBoss In Action is targeted at JBossAS 5.0 so the directory structure is slightly different.