Based on the information you provided, the solution is: do everything correctly and you will not have issues. But seriously, how do you expect us to help you if you don't tell us what you did and what problems you ran into?
The installation steps are simple.
1) Make sure JAVA_HOME is set to a 1.5 JDK (not the gcc version that comes with Fedora - you need to download one from Sun's web site)
2) Download and unzip the JBossAS zip file. Place it anywhere. Mine is at /opt/jboss-4.0.5.GA
3) In the jboss-4.0.5.GA/bin directory run: "chmod a+x *.sh". This makes all of the shell scripts executable.
To run it, in the jboss-4.0.5.GA/bin directory run: ./run.sh
To access the home page, open a browser and point it at url http://localhost:8080
By the way, why 4.0.5? Why not 4.2.2?