This is a simple process and I'll outline it here. This is the same on Win XP, 2003, Vista, Windows 2008 and Windows 7.
Download the JDK: http://java.sun.com/javase/downloads/index.jsp
Choose the appropriate edition ( I'm running 64bit Windows and CF8 ) so 64 bit edition for me. Make sure you get the JDK not the JRE.
Install the JDK and take note of the install directory. I left it all as default and the install folder is: C:\Program Files\Java\jdk1.6.0_18
Browse to you CFADMIN and select Java and Java Settings:
Replace the Java Virtual Machine path with C:\Program Files\Java\jdk1.6.0_18\jre
Save this and restart your CouldFusion services.
Log back into the CFADMIN click Settings and Summary and confirm the java version is now 1.6.0_18.
And that's it.