Wow, those are some very fundamental questions. My suggestion is to pick up one 
of the following books:

JBoss at Work: http://www.jbossatwork.com/

JBoss - http://www.oreilly.com/catalog/jbossadn/

Both books describe how to go about developing applications for use within 
JBoss. You might also want to pick up a book on JSPs/Servlets. Some free ones 
are online (though they are somewhat dated). http://pdf.moreservlets.com/

And possibly also a book on EJB3 development, there are quite a few available 
now, here is one: http://www.oreilly.com/catalog/entjbeans5/

To answer your specific questions:

1) A web server has a JSP/Servlet container and implements only parts of the 
Java EE spec, while an application server has an EJB container and implements 
the full Java EE spec.

2) See the books I recommended.

3) Yes, see the books.


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