You have to set up a server in Builder. In the servers tab, (this is at the bottom for me), click the icon with the server and a '+' sign. You will get a Server settings window. The settings on this can vary depending on your host setup, but 'is remote' should be checked. The default port is 80, and works in most cases. I left the J2EE settings blank, because I do not use a special J2ee web server.
Basically you should port your RDS settings in dreamweaver over.
Here is an article for help:
http://forta.com/blog/index.cfm/2009/7/13/Getting-Started-With-The-New-ColdFusion-Builder