Installing the JBoss Application Server
The JBoss package you downloaded is a simple zip (or tgz/bz) archive. You will need to unzip the JBoss archive into the directory you want to install into. (on most systems this is as simple as double clicking on the archive) Be careful not to install into a directory that contains spaces (like C:\Program Files\JBoss) in the path. Once the archive is extracted, JBoss is fully installed and ready for use.
Note that JBoss requires a Java SDK to be installed. (Make sure to download the SDK and not the JRE) JBoss recomends Java 1.4.2 for running JBoss 3.2/4.0.
Also check further information on JBoss vs. JDK version combinations.