Try these settings (which work for me using GF 2.1):
java.naming.provider.url=iiop://localhost:3700
org.omg.CORBA.ORBInitialHost=localhost
This assumes GF is running on localhost - change that if not.
I am not sure of how JNDI works but I [b]think[/b] that the .url starts it off, and the type on that directs further actions. Here, iiop means uses CORBA, and it looks for the ORBInitialHost, etc. In your case, the mq isn't understood by GF so the lookup fails.
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