I had tried to send this earlier but it didn't get through. No, there's no special configuration needed. Here's what I'd written, to add to Jeff's reply:
Yep. They really have no connection to each other at all. Even if you use IIS to serve up both types, the mappings (to .cfm and .aspx, for example) are to entirely different engines. Just run their default installs and you should have no problem.
That said, the fact that they don't have any conneciton to each other also means that they don't share anything at all (can't share sessions, for instance). If you DO want that sort of sharing, that's where BlueDragon.NET is different. With it, .cfm files are handed to the same aspnet_isapi.dll that .aspx pages are handed to, and they're run by the .net framework in the same pipeline as .aspx pages. But they are handled by a different httphandler: and indeed that's what BD is essentially, an httphandler (and the large CFML engine that underlies it). But all the CFML ultimately renders down to IL, just like ASPX pages.
But I sense you just want to install CF and .NET alongside each other, and for that, yep there is no problem at all.