When installing ColdFusion you are presented with the question to use the Built-in web server or to have the installer setup your first connector with a web server of your choice. On a new server most will choose to have the installer setup the connector. However, If you are installing ColdFusion 8 and this server already has ColdFusion 7 running you might want to choose the Built-in to make sure you don’t interfere with any running servers and overwrite your prior versions CFIDE directory.
You can always install connectors later using the Java Swing base connector wizard called the Web Server Configuration Tool in your Program Start menu in Windows. We also offer a command line version for setting up connectors on Solaris and Linux.
My preference is to alway install with the Built-in JRun web server. Run the ColdFusion Administrator, perform any migration steps for the new server, then run the connector setup.