You either have the JNDI name wrong or you are connecting to the wrong server.
Open the GF admin page (usually port 4848 on your server) and on the app.server screen is a bottom at the top right for the JNDI browser. Open that and see if you have the name right. If you are coming from a non-J2EE background or another app.server, you might be expecting the wrong naming convention (in my limited experience there is little consistency or obviousness about it :-) ).
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