Since Java v1.2 Javasoft changed the name to Java 2. And the JDK is now called JSDK(Java Software Developement Kit).
Any JSDKs (or you may still call them JDKs) with the version number higher than v1.2 are for Java 2.
Java 2 JSDK has a standard edition (SE) which does not contain those enterprise features such as EJB, ....
J2EE is the Java platform (or reference platform) that contains enterprise features.
Normally you have to download Java 2 SDK first, then install J2EE SDK extension on top of the SE SDK.