You did not say which OS, I assume you were on Coldfusion/Windows by the description. I gave up on web servers on Windows a couple of years ago and went to a Linux server.
There are a lot of "howto" articles on how to set up a server with all those items (except coldfusion). However, I'm not sure about ASP
I used the following to set up my Ubuntu server, and have mySQL and php all running:
Article about ASP on Ubuntu (Debian):
Hope that helps a bit, sorry I can't help much more on ASP