Right! I think you'll like this then...
I have just experienced this problem myself, and have found a fix (well, it works on my system, anyway!).
Starting with the basics, the reason that this error is occurring is that the jrun.dll (the ColdFusion library) is not getting initialised properly. On my configuration there appeared to be two reasons for this.
The first reason is a configuration problem. Plesk 7 on Windows 2000 (with the ColdFusion module enabled) puts a mapping to the JRun.dll in IIS with a wildcard (for some unknown reason!). What this means is that when ColdFusion is enabled on a particular domain, every single file that's requested is parsed by ColdFusion... which I'm pretty sure ain't right. I am pretty sure that the wildcard (in IIS5) means that any file (even, e.g., a .gif) will be parsed as a ColdTusion template! That would add a huge amount of server load.
There appears to be only one solution to this problem, and that's manual. You need to open IIS, right-click on the web site that's broken, select Properties, go to the Home Directories tab, click Configuration and then remove the mapping which has the extension *
Plesk support: Any chance of removing this wildcard mapping, or is it there for a reason?
The second problem is that the jrun.dll that comes with the Plesk installer does not have all of the required files. You will find a .dll in the directory "C:\CFusionMX\runtime\lib\wsconfig\" called jrun.dll. This alone is not enough to connect to ColdFusion; two more files are needed.
In the same folder there must also be a file called jrun.ini with the following contents:
verbose=false
scriptpath=/JRunScripts/jrun.dll
serverstore=C:/CFusionMX/runtime/lib/wsconfig/jrunserver.store
bootstrap=127.0.0.1:51010
apialloc=false
ssl=false
ignoresuffixmap=true
#errorurl=<optionally redirect to this URL on errors>
There must also be a file called jrunserver.store (as specified in the serverstore line, above) with the following one line of content:
proxyservers=127.0.0.1:51010
(There should be no newline at the end of this file - it's just that one line)
Now restart the ColdFusion MX Application Service and the World Wide Web Publishing Service and that _should_ work.
As yet I don't know whether these changes will ever get overwritten by Plesk (I've only made the change this morning and haven't rebooted or restarted Plesk since), so this may not be a permanent solution. I'm also looking into preventing Plesk from adding the incorrect wildcard mapping permanently, but no joy so far. I'll post here with further info if I'm successful.
Finally, I'll also post this as a bug with Plesk support proper, and see what happens!
Oh... this is my final point, actually... note that there is a known security hole in mapping .jsp extension files to the jrun.dll file. See the Macromedia Security recommendation here:
http://www.macromedia.com/devnet/security/security_zone/mpsb02-04.html
Hope this info helps!
Andy