To access MyStatelessBeanLocal, the client needs to be in the same EAR or WAR as the EJB.
To look up with java:comp/env/MyStatelessBean from web components, you need to either declare a ejb-local-ref whose ejb-ref-name is MyStatelessBean in web.xml, or use @EJB(name="MyStatelessBean") to inject it. Note the name attribute is also what you have in java:comp/env/ lookup name. But if you already inject it, most cases you don't need to look it up.
Or you can look up directly by the bean's portable global jndi name, in the form of java:global/<application-name>/<module-name>/<ejb-name>. For ex: java:global/MyEAR/MyEJBs/MyStatelessBean
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