Create your database using the database server of your choice. Common databases used are MSSQL or MySQL. MS Access is no longer supported. The data and table structures will be created by Savvy CM later in the installation.
Important: Make sure your database is set for UTF-8 character sets. We use unicode so that you can use any characters in your web site including special characters and foreign characters. If you do not set this up properly you will see funny characters show up in your content.
Once your database has been created you must make a datasource to that database. The datasource is set up on your server, typically through the CF Administrator. You may call the datasource anything that is appropriate for your site and server.
Make sure that the datasource is set up to use UTF-8 character encoding. This typically is manually set for MySQL.
MySQL Example: http://www.howtoforge.com/coldfusion7_mysql4.1_connection