Hey Romario,
In this case, you'll be using the sql server odbc driver which is designed to work across a network so it's pretty simple. As datasources are specific to a machine, it doesn't matter what the datasource is on the other machine, you will create a new one on your CF server which points to the sql server. You can look at the other machines datasource and copy most of the information which will make it easy.
To create the datasource, go to the odbc setup in the CF admin and create a new datasource. You will need to select "Microsoft SQL Server Driver" from the ODBC driver drop down box. On the datasource setup page, click the "cf settings" button to show all of the options. At this point, you will need to enter the Sql server's name, IP, or domain name in the "server" field. You should put the database name you intend to use in the "database" field although this is not always required. You will then need to enter a username and password that has access to the sql server in the appropriate fields. You should be able to get all of this info from the other server's datasource with the exception of the password. You may need to contact the sql server admin if you don't know it.
Once you enter all of the info, the datasource should work. The only potential problem you might have is that sometimes you have to switch the odbc driver from named pipes to tcp/ip in the odbc manager if it doesn't want to connect. Hopefully you won't have to do this though.
Good luck,
GJ