I downloaded and installed the 3.0.1 glassfish server. When going to the admin console it would never present the login screen.
I had loaded the openjdk-6-jdk package of the JDK before installing glassfish and this was causing the problem. Both versions can exist on the system together.

To install the sun version of jdk run the following:

sudo add-apt-repository "deb http://archive.canonical.com/ lucid partner"
sudo apt-get update
sudo apt-get install sun-java6-jdk

Once this is installed reinstall the glassfish server. When it comes to the screen which shows what version of the JDK to use, point it to the Sun version instead of the default.

After this the admin console now comes up and works as it should.