Daniel is basically correct, you need a mapping. However, there are 3 workarounds.
CFCs will pick the current path as a relative root mapping, so if your CFCs are all in the same directory, you can just say
<cfcomponent name="MyComponent" extends="Example">
Or if your components are in subdirectories from the current cfc, you can access it:
<cfcomponent name="MyComponent" extends="subdirectory.Example">
Second, if you are running on ColdFusion 8, you can define a mapping in your application.cfc using the mappings struct like this:
<cfset this.mappings["/MyApp"] = expandPath(".") />
There are two good references for Application.cfc, first, Ray Camden's example Application.cfc which just gives a nice view of what goes where, then the CF8 Live Docs application settings page, which has a section on mappings along with some good comments.
Finally, you can use the built-in mapping of your web root, so if your application is in a subdirectory named "MyApp" off the web root, your root mapping will be "MyApp". Let's say you correctly put your components in:
wwwroot\MyApp\com\MyApp\example.cfc
The mapping to this cfc in this case will be:
MyApp.com.MyApp.Example
And using your example, you can extend like this:
<cfcomponent name="MyComponent" extends="MyApp.com.MyApp.Example">
Anything else, such as if your components are outside of the web root, or if you are not sure what the folder structure of your finished application will be, and you will need to set a mapping in the CF Administrator.