Depending on where you want to enter first, there are tutorials on sun's web site to either learn the Java part. Then you can look at Apache.org for their information on Tomcat (there are other application servers vor JEE available) but Tomcat is the one used very often on this.
As well as, depending on how you develop, if you e.g. download Eclipse IDE for JEE you get at least an envirionment that will also help you in programming in setting up a test environment as it brings it's own webservice with it to deploy and test.
If you are more into trying it out manually to see the bolts and wires you'd best read the documentation from Apache and Tutorials on Tomcat Server.
When you e.g. Google with "Tomcat Basics To JEE" you'd find links that provide you aditional information.
http://tomcat.apache.org/tomcat-6.0-doc/class-loader-howto.htmlhttp://j2ee.masslight.com/From either Eclipse.org or apache.org you should find ways for a first startup. Installation of Tomcat as such is pretty straight forward. Creating and Installation of a web service program will require some reading of which you have in both locations.
