ColdFusion and SQL Server talk to each other very well, except when they don't. In a development environment, like, say, your laptop, they don't talk at all by design: CF wants to connect via TCP/IP and SQL Server ships with TCP/IP disabled by default.
So, thanks to Adobe help, Ben Forta's post, and Marc Esher's post, I got it working ...
- Follow the instructions in Esher's post above to open TCP/IP services in your SQL Server instance (enable TCP/IP, click on Properties, IP Addresses, delete all Dynamic Port values, and enter 1433 as the TCP Port, assuming you do have it running on 1433).
- Follow the instructions in Forta's post as well (enable Windows and SQL Server authentication, create a SQL Server account for ColdFusion, and give it access to the database in question).
- In the CF Administrator, enter the username and password for the SQL Server account you just created, leave the server name blank, and enter the name of the database to which you want to connect.
That's everything, I think, although I probably skipped over some of the painful details. Anyway, it's more complicated than it should be, and it's not all on Microsoft: there are plenty of JDBC connectors that don't have this issue. Adobe just hasn't improved their built-in connector.
 Unless, of course, you already have ColdFusion running under a separate user account, which is good, in which case you simply let CF log in using Windows Authentication. (return)
 Username and password are required only for SQL Server authentication; for Windows authentication, neither are required (because the user is already logged in). (return)