SCHEDULE 14A INFORMATION
PROXY STATEMENT PURSUANT TO SECTION 14(A) OF THE SECURITIES EXCHANGE ACT OF 1934

Filed by the registrant |X|
Filed by a party other than the registrant |_|

Check the appropriate box:
|_| Preliminary proxy statement
|_| Confidential, for Use of the Commission Only (as permitted by Rule
14a-6(e)(2))
|_| Definitive proxy statement
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|X| Soliciting material pursuant to ss.240.14a-12

PFSB BANCORP, INC.
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(Name of Registrant as Specified in Its Charter)

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(Name of Person(s) Filing Proxy Statement, if Other Than the Registrant)

Payment of filing fee (Check the appropriate box):
|X| No fee required.
|_| Fee computed on table below per Exchange Act Rules 14a-6(i)(4) and 0-11.

(1) Title of each class of securities to which transaction applies:
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(2) Aggregate number of securities to which transactions applies:
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(3) Per unit price or other underlying value of transaction computed pursuant
to Exchange Act Rule 0-11:
N/A
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(4) Proposed maximum aggregate value of transaction:
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|_| Fee paid previously with preliminary materials.
|_| Check box if any part of the fee is offset as provided by Exchange Act
Rule 0-11 (a)(2) and identify the filing for which the offsetting fee was
paid previously. Identify the previous filing by registration statement
number, or the form or schedule and the date of its filing.

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PRESS RELEASE

*FOR IMMEDIATE RELEASE*

FIRST FEDERAL BANCSHARES, INC. AND PFSB BANCORP, INC.
ANNOUNCE MERGER

Colchester, Illinois and Palmyra, Missouri, June 4, 2002 -- First Federal
Bancshares, Inc. (Nasdaq: FFBI), Colchester, Illinois, and PFSB Bancorp, Inc.
(OTCBB: PFSI), Palmyra, Missouri, jointly announced today that they have signed
a definitive merger agreement under which PFSB Bancorp will merge into First
Federal Bancshares in a transaction valued at approximately $9.2 million. The
transaction will increase First Federal Bancshares' assets from $242.9 million
as of March 31, 2002 to approximately $310 million and increase its number of
banking offices from six to nine. Under the terms of the transaction, as
described in more detail below, shareholders of PFSB Bancorp will be entitled to
receive either $21.00 in cash, shares of First Federal Bancshares common stock,
or a combination of both in exchange for each share of PFSB Bancorp common
stock.

James J. Stebor, President and Chief Executive Officer of First Federal
Bancshares stated, "We are very pleased to announce our agreement for PFSB
Bancorp to merge with First Federal Bancshares. This merger of two
community-oriented institutions represents a natural extension of our franchise
into the State of Missouri. We look forward to continuing to emphasize the
personal service and community banking focus that our customers appreciate."

"We believe that this transaction is an excellent opportunity for our
shareholders and our customers," said Eldon R. Mette, President and Chief
Executive Officer of PFSB Bancorp. "Our commitments to maximizing shareholder
value and to preserving a community bank atmosphere and high quality of service
will be met by this merger. Our shareholders will receive a significant premium
to the current market price of PFSB Bancorp common stock and will have

the opportunity for continuing ownership in the merged institution. Our
customers will benefit from access to a greater selection of services, including
a full array of commercial and consumer loan products."

The merger is expected to be completed in the fourth quarter of 2002.

First Federal Bancshares' management team and board of directors will
remain intact following the merger. One member of PFSB Bancorp's board of
directors will be added to the boards of directors of First Federal Bancshares
and First Federal Bank.

The board of directors of First Federal Bancshares has authorized the
repurchase of up to 300,000 shares of its common stock in connection with the
merger for the purpose of issuing the repurchased shares to shareholders of PFSB
Bancorp. In addition, First Federal Bancshares may purchase up to 5% of PFSB
Bancorp's common stock in the open market prior to completion of the merger.

In connection with this transaction, Sandler O'Neill & Partners, L.P.
acted as financial advisor to First Federal Bancshares and RP Financial, LC.
acted as financial advisor to PFSB Bancorp. Muldoon Murphy & Faucette LLP
represented First Federal Bancshares, while Jenkens & Gilchrist, P.C.
represented PFSB Bancorp.

First Federal Bancshares is the holding company for First Federal Bank.
First Federal Bank operates out of six offices in west-central Illinois. At
March 31, 2002, First Federal Bancshares had total assets of $242.9 million and
total deposits of $193.1 million.

PFSB Bancorp is the holding company for Palmyra Savings. Palmyra Savings
operates out of three offices in northeastern Missouri. At March 31, 2002, PFSB
Bancorp had total assets of $71.9 million and total deposits of $62.7 million.

TERMS OF THE MERGER

Under the terms of the agreement, PFSB Bancorp shareholders may elect to
receive either shares of First Federal Bancshares common stock, $21.00 in cash
or a combination of stock and cash in exchange for their shares of PFSB Bancorp
common stock. The elections of PFSB Bancorp shareholders will be subject to the
requirement that 50% of PFSB Bancorp shares be exchanged for cash and 50% be
exchanged for First Federal Bancshares common stock. To the extent they receive
First Federal Bancshares shares, the transaction is expected to be tax-free to
PFSB Bancorp shareholders.

The number of shares of First Federal Bancshares common stock into which
each PFSB Bancorp share will be exchanged will be based on the price of First
Federal Bancshares common stock over a measurement period prior to the closing,
as follows:

Average closing price of First Federal
Bancshares common stock during
measurement period Exchange Ratio
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1. $13.09 or less 1. 1.364

2. Greater than $13.09 and less than $14.83 2. $17.85 divided by average closing price

3. $14.83 or more and less than $20.07 3. 1.203

4. $20.07 or more 4. $24.15 divided by average closing price

PFSB Bancorp may elect to terminate the agreement if the value of First
Federal Bancshares stock declines below $13.09 and underperforms the SNL Index
of Thrifts w/ Assets <$250M by 15% during a specified measurement period. Prior
to PFSB Bancorp terminating the agreement under such circumstances, First
Federal Bancshares may elect to increase the exchange ratio.

The merger is subject to certain conditions, including the approval of the
shareholders of PFSB Bancorp and receipt of regulatory approval.

PRICING SUMMARY

Price to trailing 4Q earnings 44.7x

Price to 3/31/02 tangible book value 101.8%

Premium to 6/3/02 PFSB Bancorp market price 58.5%

FORWARD-LOOKING STATEMENTS

This news release contains certain forward-looking statements about the
proposed merger of First Federal Bancshares and PFSB Bancorp. These statements
include statements regarding the anticipated closing date of the transaction,
anticipated cost savings, and anticipated future results. Forward-looking
statements can be identified by the fact that they do not relate strictly to
historical or current facts. They often include words like "believe," "expect,"
"anticipate," "estimate," and "intend" or future or conditional verbs such as
"will," "would," "should," "could" or "may." Certain factors that could cause
actual results to differ materially from

expected include delays in completing the merger, difficulties in achieving cost
savings from the merger or in achieving such cost savings within the expected
time frame, difficulties in integrating First Federal Bancshares and PFSB
Bancorp, increased competitive pressures, changes in the interest rate
environment, changes in general economic conditions, legislative and regulatory
changes that adversely affect the business in which First Federal Bancshares and
PFSB Bancorp are engaged, and changes in the securities markets.

ADDITIONAL INFORMATION ABOUT THE MERGER AND WHERE TO FIND IT

SHAREHOLDERS OF PFSB BANCORP AND OTHER INVESTORS ARE URGED TO READ THE
PROXY STATEMENT/PROSPECTUS THAT WILL BE INCLUDED IN THE REGISTRATION STATEMENT
ON FORM S-4 THAT FIRST FEDERAL BANCSHARES WILL FILE WITH THE SECURITIES AND
EXCHANGE COMMISSION ("SEC") IN CONNECTION WITH THE PROPOSED MERGER BECAUSE IT
WILL CONTAIN IMPORTANT INFORMATION ABOUT FIRST FEDERAL BANCSHARES, PFSB BANCORP,
THE MERGER, THE PERSONS SOLICITING PROXIES IN THE MERGER AND THEIR INTERESTS IN
THE MERGER AND RELATED MATTERS. Investors will be able to obtain all documents
filed with the SEC by First Federal Bancshares and PFSB Bancorp free of charge
at the SEC's website, www.sec.gov. In addition, documents filed with the SEC by
First Federal Bancshares will be available free of charge from the Corporate
Secretary of First Federal Bancshares at 109 East Depot Street, Colchester,
Illinois, 62326, telephone (309) 776-3225. Documents filed with the SEC by PFSB
Bancorp will be available free of charge from the Corporate Secretary of PFSB
Bancorp at 123 West Lafayette Street, Palmyra, Missouri 63461, telephone (573)
769-2134. READ THE PROXY STATEMENT/PROSPECTUS CAREFULLY BEFORE MAKING A DECISION
CONCERNING THE MERGER.

PFSB Bancorp and its directors and executive officers may be deemed to be
participants in the solicitation of proxies from PFSB Bancorp's shareholders to
approve the merger. Information about the directors and executive officers of
PFSB Bancorp and their ownership of PFSB Bancorp's common stock is set forth in
PFSB Bancorp's proxy statement for its 2002 annual meeting of shareholders as
filed with the SEC on December 14, 2001.

For further information contact:

James J. Stebor
President and Chief Executive Officer
First Federal Bancshares, Inc.
(217) 224-8686

Eldon R. Mette
President and Chief Executive Officer
PFSB Bancorp, Inc.
(573) 769-2134