Move your JBoss installation out of "Program Files". I installed mine at d:\apps\jboss-4.0.4.GA. Directories with spaces in their names always seem to cause problems.
I guess I should also ask how you installed JBoss: via the installer jar file or did you download and unzip the zip file? If you used the installer jar file, what did you name your server (i.e., what directories appear under jboss-4.0.4.ga/server)?