I have downloaded the latest JavaEE SDK for Windows (java_ee_sdk-6u4-windows.exe). I also have set a system variable named JAVA_HOME which holds the absolute path for JDK directory.
While installing JavaEE SDK, I had also to install GlassFish. But, there is a GUI error which do not let me configure the GlassFish server (see the screenshot, http://i47.tinypic.com/34gx8k0.png). Basically, the text fields\boxes have no width for the input.
The so called JavaEE SDK is nothing more than a bundle download. Glassfish is a server container which implements the enterprise edition specification; one of many such containers I might add. What you are downloading here is Glassfish + JDK 6 + some documentation, nothing more. So if you are having trouble with it, you can always try to download and install Glassfish standalone here:
(the top download) and see if that installer gives you better results; you are not the first to have trouble installing the bundle package. But also realize that Glassfish is not your only option; you could also take a look at JBoss 7.1 for example to see if that is more to your liking. I'm biased because I'm a JBoss user myself ;) The wiki gives a nice overview of all compliant containers: