Download the Sun Java System Application Server 9.1 for Linux from the download page.
Then open up a terminal where you downloaded the .bin file and execute:
chmod +x sjsas-*-linux.bin ./sjsas-*-linux.bin
I wasn't able to see anything on this wizard while Compiz was active, so I had to execute the following first:
killall compiz && metacity &
Follow the wizard until it gets to Admin Configuration. On that page, enter a password of your choice (e.g. adminadmin) and select Don't Prompt for Admin User Name and Password. You won't need that or a proper password for studying purposes. Then proceed. The wizard will later ask you whether you want to enable the Updatecenter Client or to register with SUN - you probably want neither.