DB XML and eXist are two major options

of course, you had better to download  latest version, which fixes many bugs from the last version
and about jar  and war  files, as stated in their web site you can download jar file and install the DB using the command line java -jar eXist-1.0.2-rev5396.jar

and war file contains a web application, perhaps some example

you can gain this with Oracle 9i or 10g as well which are free for download.

Oracle XML DB is a good choice.......................

take a look at this list:
http://en.wikipedia.org/wiki/XML_database

it has listed lots of embeded databases  that all support XML:DB API (XAPI) standard.
there Apache XIndice and many other products are also in this list.

jar is general java archive.
war is archive for web applications.
war files  can be deployed to java web containers.