You cannot download "J2EE" as it is a specification, not an application. The "JEE SDK" you are referring to is just one of Oracle's confusing bundle downloads.
What you're talking about is the Glassfish server which delivers an implementation of the JEE 6 specification. There are many alternatives to Glassfish out there though, including JBoss, Oracle Weblogic, IBM Websphere, Apache Geronimo and more. If you must go down the Glassfish path (which is recommended if you follow some tutorial, but I wouldn't recommend following a tutorial if you intend to learn this highly complicated material) then don't mess with the "JEE SDK"; take control and install the stuff separately which is hardly rocket science. Install the latest JDK 6 release and install the latest Glassfish from here:
Be sure to pick downloads that match your CPU architecture.