Hi James, thanks for your interest. :)
The directory will definitely exist (since Railo itself has files in it), but it might be in a different location.
If you have performed a WAR install, there is no server-level components directory, and you should instead use the WEB-INF/railo/components directory.
If this is not a WAR, can you confirm which method you used to setup Railo? (e.g. using Railo installer, configured manually, etc)
Thanks,
Peter