When you install ColdFusion MX (in C:\cfusionmx\) with an alternate web root directory (lets say d:\web) the WEB-INF directory stays in c:\cfusionmx\wwwroot\WEB-INF\.
That isn't a huge deal but it has implications when you are using a different hard drive for your web files...
Lets say your C:\ drive is slower than the D:\ where you keep all your web files. All the generated servlets (class files), and CFC's class files will stay in the WEB-INF directory on the slower drive (C:\). Your also going to be taking up a lot of space on the C drive.Many of the .class files will be cached, and you can set the cache size to be large enough to store all of them (in most cases). But when the server is restarted, the cache is lost. If you have tons of files access may be slower.
So unless you can figure out how to move the WEB-INF directory, your going to want to make sure that you install ColdFusion MX on a hard drive with enough space, and enough speed to handle your needs.