A feature of Windows 2003 Service Pack 1 is "Data Execution Prevention". This security feature blocks the InstallAnywhere self-extractor for CF 6.1 and all JRun4 Updaters. (CF 7.0 is not affected). To fix this problem, do the following:
Saw this interesting article about ColdFusion and Symantec Norton Internet Security bungling compressed content from web servers.
"Something about how CF reassembles its own responses (those it is responsible for serving) seems, in conjunction with compression, to create response entity that the Symantec Norton Internet Security 2006 (NIS 2006) decompression engine on the client side cannot properly handle."
Something to be aware of if you are seeing unexpected output from CF.