I'm posting this as much for my benefit as anyone else's. Everytime I reinstall CF I forgot how to change this. I love using the dockable CF debugging on my sites. It allows me to have all of my debugging information in a handy little popup window for reference. It's better formatted than the classic version, and I can stick it on my second monitor for reference as I go. However, it steals focus every single time a page loads. So, to disable this, just follow these simple steps:

1. Find the dockable.cfm file at C:\CFusionMX\wwwroot\WEB-INF\debug\dockable.cfm
2. Find this line: win.focus();
3. Comment it out like so: //win.focus();
4. Restart the Coldfusion MX Application server

Problem solved! :)