JSDK, Java 2 SDK or JDK = Java Software Development Kit - http://java.sun.com/j2se
J2EE = Java 2 Enterprise Edition - http://java.sun.com/j2ee
The JDK is what you need to write Java programs. It contains the Java Runtime Environment (JRE) and a bunch of tools, such as the Java compiler, Javadoc tool, JAR tool etc.
J2EE is a set of APIs for writing Java enterprise applications, that consist out of components such as servlets, JSPs, EJBs etc. that run in an application server. You need to have the JDK installed before you install the J2EE SDK / reference implementation.