Have a look at this question about entry books for J2EE. I strongly recommend starting with a good book. This is a complex topic and even an experienced developer needs some help to get started.
I also recommend to get familiar with non Sun technologies right for the beginning. Database persistence is much easier with frameworks such as Hibernate and iBatis than with Entity Beans (even in the new J2EE standard). Have a look at a dependency injection framework like Spring and Guice. In fact Spring offers much more than dependency injection (aspect oriented development, web services framework, mvc, wrappers for JDBC and JMS).
Another important thing is the selection of IDE. In the free world you can either go with Eclipse (J2EE edition) or Netbeans. Both are good, I find Netbeans a little slow, but it's getting better. I also recommend Tomcat as the application server. Although it doesn't implement the J2EE standard completely (no EJBs), there are little things that you can't do. Full application servers are JBoss and Glassfish from Sun. Glassfish is nicely integrated in Netbeans (has nothing to do with the old Sun's application server - it is fast and reliable).