I think that it can be common for CF hosts to disable the RDS for security reasons. The only way that I know of to get around this is to install a local ColdFusion server so that you can develop and test locally on your machine. When you have it all working then you can just make sure to export your db to your live server and make sure that you have a datasource setup with the same name. On my machine I use the developer install that you can download directly from the internet.