|BlueDragon 6.2.1 and before do not have the application.cfc. It is on the list of things planned for BD 7.
In the meantime, it's worth noting that there may be a work-around in the meantime. Both J2EE and .NET offer similar built-in event handling. Macromedia made it easier by way of a CFC, but until then, please note the following resources for whichever platform you run on (J2EE or .NET) to find out more.
BlueDragon on Java/J2EE
On the J2EE platform, session and application listeners (event handlers) were introduced in the Servlets 2.3 spec in 2001, and are discussed in such places as:
Unfortunately, the version of ServletExec that underlies BueDragon Server and Server JX editions is implemented in such a way that you can't leverage that functionality. But if one deploys BD on a J2EE server or Servlet Engine, you can indeed take advantage of it (by writing the Java code mentioned in the articles). All the servlet engines for the past couple years (including ServletExec since 4.1) have supported servlets 2.3. I know this isn't as easy as using the application.cfc, and is of no value for BD Server users, but it's there.
BlueDragon on Microsoft.NET
In the case of BD.NET, again, the .NET framework supports such session and application event handling also. In fact, their approach is much closer to what one may see in the application.cfc model. It's done in the global.asax template, and it has predefined methods that you can implement to handle session start, end, application start, end, etc. Some resources on that are:
Again, you need to write pure asp.net code (VB, C#, J#, etc.) , but it's pretty easy to find lots of example like those above to do most of what one would want.