For years I have researched and tried to resolve the continuing occurrence of JRUN errors on my ColdFusion MX 6.1 Web application servers. I found several band aid solutions, and many suggestions that were just not the cause of the problem. Alas! I have figured out why this happens and how to prevent it.
If you are experiencing JRUN Error Connection Closed, there is one simple thing that you need to do: For every Microsoft Access data source that you setup, under "Advanced Settings", you need to check the box that is labeled "Limit Connections", and you need to restrict connections to 1. This is because the ODBC driver for Microsoft Access was not designed to handle multiple connections in a live environment since Microsoft Access was never really designed for higher level applications. The driver simply crashes when a second connection is opened. So, your settings should look like this:

In case this doesn't fix your problem, here are some links to other possible causes of JRUN Errors.
I am so tired of people who have chosen to have nothing better to do than complain and spend their life pursuing new things to complain about. There are many better things that my neighbor could be doing than complaining to me about where I park my car. It's public street, and I will park there for as long as is legal.
How about spending your time on something useful. Make a difference in the world. There are people out there who need help, go help them, don't bother me. Don't waste my time, because that prevents me from being able to help other people. GET A LIFE!