CFBuilder + Adobe AIR = More Stuff To Learn
If you already have CFBuilder, you're pretty much ready to go with AIR development. There's nothing extra that you need. Now, the default AIR SDK that ships with CFBuilder is AIR 1.5, but Andy Matthews pointed out that you can point CFBuilder at an AIR 2.0 SDK. Anyway, to create an AIR project in CFBuilder, just File->New->Project-> Type "AIR" and it will filter to "HTML Projects: Adobe AIR Project."
To update the SDK:
Download the AIR 2.0 SDK and unzip it. Move it to somewhere safe on your computer that you won't randomly delete it for no reason. Then, open CFBuilder, go to Windows -> Preference. Type in "AIR" for the filter text, then select "AIR SDKs" - Click on "Add" - Browse to the directory I just mentioned to keep safe and then type "AIR 2.0 SDK" as the name and hit ok. When you return to the original panel, you'll see "AIR 2.0 SDK" in the list and if you want to make that your default SDK, you should check the box next to it and hit apply.
So, why am I mentioning this? Because if you already have CFBuilder, then you already have Adobe AIR and it's potentially another thing you should be learning if you're not already learning it. After all, you knew that you can create HTML / Javascript AIR apps, right? Right?
Additional (useful) AIR links: