I think I understand it better now regarding where to use jboss-messaging-client.jar and JBM Bridge.
For connecting from JBoss MQ to JBoss Message Queue by using a java client need jboss-messaging-client.jar.
And for connecting to a Remote Queue(which is hosted in JBoss Messaging) from MDB(which is running in JBoss 4.2.2) needs to have JBM Bridge.
Thanks and Regards
Murali Reddy