J2EE & J2SE install questions

I downloaded and installed this release on my Windows XP machine. The name of the install-executable is j2eesdk-1_4-dr-windows-eval.exe.
In the download website, it said this includes J2SE 1.4.2_02 also, although after installation, none of the online documentation for J2SE seems to be present, only J2EE-specific ones (includng EJB, security, server, web, etc) are present.
Do I need to install the J2SE SDK separately to get access to the regular J2SE code and documentation? Or, is this all comes with the J2EE SDK?
Also, when I install the J2EE SDK, it default-installs into C:\Sun\AppServer. When I install J2SE SDK, it default-installs into C:\j2sdk1.4.2_03 and also installs something into C:\Program Files\Java\... Why this inconsistency? Is the C:\Program Files\Java\... piece just the JRE? If so, why doesn't the J2EE install also install a JRE this way?

So, you have J2EE SDK already installed, and you want to use another J2SE version that you installed separately, right?
To do that, you should update <j2EE_install_dir>/config/asenv.bat file. Variable AS_JAVA should point to new J2SE installation directory. Then, you also need to change the J2SE installation used by default server domain - easiest way to do that is to use admin console and follow instructions available here:
http://docs.sun.com/source/817-6088/jvm.html#wp1027918

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