According to Macromedia Security Bulletin MPSB03-02, ColdFusion MX can be used with Microsoft IIS, Windows NT Authentication, and NTFS file permissions. IIS must be configured to check the file permissions before passing the request to ColdFusion MX. In order to do this, you set the properties of the .cfm and .cfml file extensions to check if the file exists.
When trying to use NT Authentication on Windows 2003 with ColdFusion MX, you also need to check the File Exists check box for those extensions configured to use the jrun_iis6_wildcard.dll. If you are using Flash Remoting, you may get a "Page not Found" error on the Flash Remoting pages.