How can I integrate JMS third-party software with EJB application servers (both J2SDKEE 1.2.1 and, for example, the WebLogic server)? And, how can I run the client application? A sample program would be useful?

If you want everything to participate within the same transaction, you can't. For example, if you are in an EJB that has a transaction context started and you place something on a non-Weblogic JMS queue and the transaction ends up rolling back, the message you placed on the JMS queue will still remain.