I'm searching for a solution to a similar problem and came across yours.
We're installing Max/MSP on a group of WinXP machines in a student lab. The college's PC security measures include hiding the C: drive from students' view. This is problematic for a number of things but I've managed to work round most of the problems. One thing I can't do (which seems to relate to your issue) is using mxj.
The students do have access to another local disk (D:) and I've put a java/classes folder on there. I have set up the config file with a path to the classes folder on the D drive and when the JVM starts up it reports this path in the max window. The mxj class also work perfectly fine. But when I try to 'viewsource' the Max window reports that that the path can't be found BUT the path it reports to be looking for has had the D: replaced with C: