Dale Fraser worked this out for us and it works perfectly on Vista and Windows 7 and Windows Server 2008. This is also the same process for ColdFusion 9.
A little while ago I also created a step by step walk through and here it is: Installing ColdFusion on Windows 7 </ a>
Once that is setup you might like to create addition HOST entries so you access your sites locally via host name rather then http://localhost/site1 Steve Withington has a walkthrough on the process here.
There is sound to this as I step through the process.
If you are interested in Windows Server 2008 and ColdFusion 9 install here is a walk through: http://vc.kukiel.net/cf9win2k8