We'll need some additional info to find out what is going on.
Check your ColdFusion and JRun logs.
I'm going to assume you are running in "Server Configuration
Mode", which is option 1 during installation.
The JRun logs can be found in c:\coldfusion8\runtime\logs
The ColdFusion logs can be found in c:\coldfusion8\logs
Have a look through those and see if there's anything
screaming out. If you're not sure, post the logs and someone can
have a look.