Goekhan,
Try and create some invalid code, like <% blah blah %> and save it, that *should* be marked in your left margin and in the problems view. If it is, you are setup correctly. If it doesn’t, you need to add your JDK’s /bin directory to your System PATH environment variable and restart MyEclipse (it uses javac to valid the JSP for now, in 5.0 this will change).
Now the markers on the right are actually warnings, not errors, so they are not shown in the problems view. We don’t current have a threshold setting available to be able to show these warnings in the problems view yet, but may add that in the future.