plalx's answer is good, but if you really want to do it in Javascript, you can simply do something like this:
sel.options[0] = new Option('---Any---', '0');
<cfoutput query="yourQuery">
sel.options[#yourQuery.CurrentRow#] = new Option('#yourQuery.value#', '#yourQuery.text#');
</cfoutput>
You may also want to use ColdFusion's JSStringFormat function to prevent things like apostrophes within those values from the query causing any problems in your Javascript:
sel.options[0] = new Option('---Any---', '0');
<cfoutput query="yourQuery">
sel.options[#yourQuery.CurrentRow#] = new Option('#JSStringFormat(yourQuery.value)#', '#JSStringFormat(yourQuery.text)#');
</cfoutput>