To get around this, you must define at least a minimal database environment to the EJBWizard (it doesn't actually have to connect to a database, just as long as it thinks it can).
To solve this problem, you need a database environment definition. If you don't have a "live" one, download this one:
I think this will get you going. You should be aware that the "Table" button on the Data tab will bring up references to databases you don't have. The jonas.properties file in nulljonas links to database properties files (also included). You can create or customize your own database property file using the samples in order to connect to your databases.