> <cfajaxproxy cfc="components.test" jsclassname="myproxy">
Actually that line is all you need to demonstrate the error. It's definitely caused by the sandbox security settings created by your host. I get the same error when I add my test directory c:\ColdFusion8\wwwroot\dev to (CF Admin) Security > Sandbox Security . As soon as I remove it, the error goes away.
Obviously a shared host is not going to remove the sandbox settings entirely, but they do need to change the settings to allow built in tags like cfajaxproxy to function.
BTW: It only seems to happen the very time you run the cfc. For example, if you invoke the component first, the error goes away (at least with my settings). The real solution is for the host to fix the permissions. But at least you can see the error is caused by the creation of a java class the first time the CFC is invoked by cfajaxproxy.
<cfinvoke component="components.MyTest" method="myFunction">
<cfajaxproxy cfc="components.MyTest" jsclassname="myproxy">
