The basic idea of this approach is that your Servlets and EJBs are together in your WAR file as one app.
This is very different than J2EE or Java EE 5 as there aren't several levels of separation and classloader hierarchy. This is going to take some getting used to and it should be understood that this style of packaging isn't J2EE compliant. Who would care tough as it is a feature of Java EE 6 we would've been waiting for so long.
J2EE classloading rules:
To pull that off, J2EE has to kill you on packaging:
Critically speaking, forcing more than one classloader on an application is where J2EE "jumps the shark" for a large majority of people's needs.
If you want to try to work with Servlets/JSP and OpenEJB using Tomcat, see the setup page and the "/webapps/ejb-examples" section of the openejb-examples.zip available on the download page.