The short answer is you need a justice system.
A jail is a room used by the justice
system within your dwarven community,
also known as a prison. They are
designated from a constructed
restraint, by querying the restraint,
designating it as a room, and then
setting it to be used for justice.
Source: http://df.magmawiki.com/index.php/Prison#ixzz0v0zfmSU0
The jail is only one part of the equation, you'll also need a Sheriff or Fortress Guard to actually carry out the policing.
Policing your dwarves will cause them to get locked up when they do bad things. This is an alternative to killing them as that can lead to bad thoughts amongst other dwarves. Its important to note that if your prison isn't nice enough, it can also lead to bad thoughts and make things worse instead of better.
They're going to need a Bed, Food and Alcohol to stay alive. The better the quality the better for the dwarf. A table and chair also go a long way. Finally, the quality of the restraint also affects the mood of the dwarf in question.
Its important that you always have room in your prison for new dwarves. If you don't, illegal activities will be punished by the hammerer which can lead to bad thoughts and death.
To train exotic animals you need a dungeon master. Once you have a Dungeon Master you can tame exotic animals. Once the animal is tame you can then train it as a beast of war.
In version .31 and upwards the dungeon master has been removed. He is no longer needed to train large animals in .34, in .31 he was. But there was a bug that prevented him from showing up.
Best Answer
I'd have to agree with @Pierre-Luc.
After doing some easy googling for you, I looked at the raw-files for Wolf, Eagle and Bear, and they all lack the [STANDARD_GRAZER] token. The wiki page about Black bears even states specifically:
Bears in general lack the [GRAZER] tag which means they don't require pastures. This makes them an ideal component of a meat industry.Did these animals die from wounds, or perhaps some other reason?