The need for intense muon beams for muon colliders and for neutrino factories based on muon storage rings leads to a concept of 1-4 MW proton beams incident on a moving target that is inside a 20-T solenoid magnet, with a mercury jet as a preferred example. Novel technical issues for such a system include disruption of the mercury jet by the proton beam and distortion of the jet on entering the solenoid, as well as more conventional issues of materials lifetime and handling of activated materials in an intense radiation environment. As part of the R&D program of the Neutrino Factory and Muon Collider Collaboration, an R&D effort related to targetry is being performed within the context of experiment E951 at Brookhaven National Laboratory, first results of which are reported here.