At this juncture, I'd create a simple "hello world" web app, throw in the filter and deploy it. If it works (should, clearly), make an "hello world" enterprise app (needs at least one session bean), toss in the WAR, and deploy that.
Use Netbeans for all of this, use the wizards, etc.
When it works, then yank your hello world filter out in to a separate lib project, link it all back up and deploy them. It should all still work.
Then I'd compare the hello world project structure, web.xml, etc. to the one your having problems with to see what the (no doubt subtle) issue is.
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