A datasource may be created through Windows ODBC Setup or through ColdFusion Administrator. We recommend creating it through ColdFusion Administrator as you may set the username and password directly, rather than including it in the source files. This only applies if you are using SQL Server or MySQL Server. However, there are also other settings that you should consider if using MS Access (see Notes below). We recommend NOT using something simple like your domain name for the datasource if in a shared server environment, as anyone on the server will be able to read from your database if they know the name and if the user and password are set in CF Administrator. So, if you name your database something like "mydomain", name your datasource something like "mydomain539863".
Notes if using Access as the database:
It is a good idea to limit the number of simultaneous connections to a very low number. We actually set this to "1" on most sites we host, but we would never set it to more than 2 or 3. This should limit the chance of database corruption. Other settings recommended by Macromedia/Allaire for Access databases are:
Page Timeout: 600
Buffer Size: 0
Leave "Maintain Database Connections" UN-checked.
All that said, if you are expecting anything more than a modicum of traffic/transations on your site, we highly recommend that you use SQL Server or MySQL as your database.