To change your mail server, first log into your Coldfusion administrator. Under the server settings drop down, select the mail option. This will bring up your mail server setting page. Fill in your new mail server name as shown in the image below.
After this is done, verify that the mail server is functioning by checking the Verify mail server connections button located below then submit changes. If the server is functioning properly the screen will display as in the image below.
Note: Once you have made changes to your mail server, you may want to check your Admin > Site Settings page to see if any emails may have been undelivered before this change was made. If you have a notification of undelivered emails, have a look at the following article: Undelivered Emails (ColdFusion)