I can't speak specifically about CF9 or Plesk 10, but in the past we ran CF8 on a Plesk 8 machine prior to Plesk supporting it.
It just means that you have to configure CF support manually in IIS for each domain that you want to use it.
These were the steps we used to follow ... (PLEASE NOTE: these instructions are for ColdFusion 8 on a Plesk 8.x server, but the principles may be similar with CF9/Plesk 10)
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Step 1 - Enable CF Support
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1. Click Start >> All Programs >> Adobe >> ColdFusion 8 >> Web Server Configuration Tool
2. A pop up window will appear, Click the "Add" button.
3. Select the domain from the "IIS Web Site" drop down list. (Leave all the other settings on their defaults) then click "OK"
4. When prompted to restart the web server click "Yes"
If you get an error saying that it can't stop the web server, just run iisreset from the command line.
5. Click "Exit"
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Step 2 - Create Virtual Folder linking to the CFIDE folder
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1. Open IIS, right click the required domain and select "New" >> "Virtual Directory".
2. The Virtual Directory Creation Wizard will open. Click "Next".
3. Enter "CFIDE" as the Alias name, click "Next".
4. Select C:\Inetpub\wwwroot\CFIDE as the path, click "Next".
5. Make sure that "Read" permissions are checked, click "Next".