If you want to backup datasources on ColdFusion 5 and below on windows, backup the following registry keys:
HKEY_LOCAL_MACHINE\SOFTWARE\Allaire\ColdFusion\CurrentVersion\DataSources HKEY_LOCAL_MACHINE\SOFTWARE\ODBC
Create two reg files, and then just double click the reg file on the server you want to backup on. If your only using OLE DB datasources, then I beleive you only need to backup the first key. Also it may be a good idea to keep a backup of your the entire ColdFusion registry key.
On ColdFusion MX settings are stored in files (typically xml using WDDX) instead of the registry. So you need to backup the files that contain the settings. The file cfusionmx\lib\neo-query.xml stores the datasources.