Hi
I did a couple of things.
I added my jar file located /home/openlink/jdk1.4/opljdbc3.jar. This is all taken care of by the shell script script openlink.sh
After running this script, I restarted my coldfusion with these settings as part of my environment, don't believe this is really necessary but just in case, and in the Java and JVM settings, I added the directory structure incl. jar file to my settings, restarted CF
From the Datasources section, I added a new setting for Other and simply added
URL = jdbc

penlink://emmon/SVT=SQLServer 2000/uid=sa/pwd=/database=northwind
Driver Class = openlink.jdbc2.Driver
That was it. It connected to my SQLServer db and I was able to write simple statements.
I have two connections, one using a Type 3 driver and the other using the OpenLink Type 4 JDBC driver for Virtuoso
HTH