wmq.jmsa.rar is released by IBM. Its found as part of the product. Go with the latest release WMQ 7.5 if possible. WMQ supports XA transaction. It can participate as a resource manager in a 2 phase transaction coordinated by an external transaction monitor/application server.
Sample programs for Java XA transaction are not found with the installation. (I know I have seen C and Cobol XA samples).
http://pic.dhe.ibm.com/infocenter/wmqv7/v7r5/index.jsp?topic=%2Fcom.ibm.mq.dev.doc%2Fq023590_.htm
http://pic.dhe.ibm.com/infocenter/wmqv7/v7r5/index.jsp?topic=%2Fcom.ibm.mq.dev.doc%2Fq031500_.htm
You will require a local qmgr (application should run on the same server as qmgr to connect in bindings mode) or extended transactional client to connect to a remote qmgr using XA transactions.