There are at least two likely culprits for this error - either the web connector did not install properly, or there is a permissions issue with the ColdFusion folder structure.
Did you install the mandatory updater and the latest hotfixes yet? Can you remove and reinstall the web connector using the Web Server Configuration Tool (be sure to "Run as Administrator")?
When you installed ColdFusion, did you follow the installation instructions and the ColdFusion 10 Lockdown Guide? The guide lists specific permissions that must be granted to the user account the ColdFusion service runs under.
-Carl V.