I don't normally post blog entries about new tech notes on Macromedia.com, but I am going to start doing so to help spread the word - at least for CF related items.
There is a new technote located here:
http://www.macromedia.com/support/coldfusion/ts/documents/dynamic_dsn_cfmx.htm
That details how to set up dynamic datasources. However, it only works for MS Access and MS Excel type datasources.