Is your servlet in a web module? That is, is the servlet in a WEB-INF/classes subdirectory? Is the servlet in a package (servlets must be in packages).
Do you execute the servlet by right-clicking on the WEB-INF node in the Explorer window and choosing Execute? Doing so makes the IDE put the context entry into the server.xml file.
What does your web.xml file look like?
Maybe try out this tutorial and see if it works for you:
http://developers.sun.com/tools/javatools/documentation/s1s5/helloweb.html