If what you are asking is "how can I setup a folder on my fileserver so that files that are accessed through my CF application using tags such as CFFILE are the only ones that can access it" then the answer is to 1) Change the login information for the CF services from the local system service to a domain account, being sure to give that account admin privs, 2) on the file server only give access to the domain user that you just created in step 1.
However, if your CF app is allowing users to access that folder via mechanisms like HREF links (ie, where the account accessing the folder is not the CF account, but the user that is logged into windows running a browser), then you need to put those users in a group and give that group the sole access to the folder.
Scenario #1 presumes that your CF app is doing some sort of authentication so that it knows who is allowed to use it to get to that folder.
-reed