trostum,
Sorry to hear you are having a hair-ripping experience with EJBs, this is the reaction that many people have to them which is why Spring was born. Regardless, the tutorials covering JBoss/MyEclipse and EJBs are all in our Documentation section here: http://myeclipseide.com/ContentExpress-display-ceid-67.html
The one you most likely want to follow step-by-step is the EJB Development one here: http://www.myeclipseide.com/images/tutorials/quickstarts/firstejb/
I would suggest if you have been banging on this for a while and things are sufficiently mucked with (app server settings, JARs, project settings, etc.) I would encourage you to do the following to keep things simple:
1) Create a new workspace: File > Switch Workspace > C:\ejbWorkspace, hit OK.
2) Redownload JBoss 4.0.2 and unzip it to a new location: C:\jboss\4.0.2
3) Setup JBoss 4 in Myeclipse by pointing ot the home dir and specifying a JDK for it to launch with.
4) Try and run JBoss from the App server control button in the tool bar, did it start/stop correctly?
5) Work through the EJB tutorial I gave above step by step and just atleast try and get that working. This should help give you better bearings.
I think steps 1-3 are important because you want to remove the possibility that some JAR you might have moved or copied is going to cause deployment issues, god knows the simplest little hickups can take up hours to figure out or work around, so I’m trying to minize any of that happening here.