Installing ColdFusion MX to a directory that contains a space is not permitted by the installer. This can be worked around by using 8.3 notation for the path information, but is not recommended or supported.
The restriction is implemented to avoid issues that may come up when configuring and using ColdFusion. For example, some customers attempt to install ColdFusion MX inside of the "Program Files" directory on Windows by entering the path C:\PROGRA~1\cfusionmx\. The installer will permit this since the installation path does not contain a space, but problems will occur later on when configuring the web server connector and possibly in other areas during server operation.