Kyle Hayes has posted an excellent captivate demo that walks you through hooking up a Flex DataGrid to a ColdFusion query. He covers the complete process from Flex Project creation to writing the ColdFusion CFC. This is an excellent demonstration for folks who are having a hard time wrapping their head around the process.
Captivate Tutorial: Viewing a ColdFusion Query in a Flex DataGrid
By the way - Captivate is incredibly useful. I've used it before and creating tutorials is about as easy as hitting record and just clicking and talking.