You probably need to include jbossall-client.jar in the classpath for the client.
I did include this file in classpath but I'm having this problem only in JBoss-3.2.2,However if I use jboss-3.2.1,it works fine. and I don't get any error from client.
I was getting a similar error while using JBoss 3.2.3.
I changed my class path to include the following ...
... and like magic I got a different error instead ...
javax.naming.NameNotFoundException: comp not bound.
But at least I now have an Initial Context.