The way the ColdFusion works within Dreamweaver is through RDS connections. When you specify ColdFusion as the server model and the URL of the server it will want to you enter the necessary details to connect with that cold fusion server. Once the connection is established you can select from any of the datasources available on that ColdFusion server.
When you click on the define button it brings up the ColdFusion admin interface so that you can define a new DSN. If you do not need this then you should just establish the RDS connection to your server. To do that open up a ColdFusion page that has been saved to your site and go to the databases tab of the application panel. In here you should see a checklist for info needed to connect to your ColdFusion server and use the DSNs available there. Once you have done this part you should just be able to select any of the data sources directly from withing the wizard interfaces.