With IIS7's revamped interface, I had a hard time locating how to change the permission on a single file. I could see how to do so at a folder level, but I couldn't see how to do so on a single file (.CFM in this case).
It turns out, once you hilghted the file you want to change the permission on, you right click and select 'Switch to Features View' – this changes to the features view on that one, single file. Then you can use the Authentication module to set it up the way you want. You can tell you are changing one file by looking at the breadcrum trail in your address bar.