Why is my application name not showing up in the SQL Server connection properties?

If I understand correctly I should be able to have the application name from application.cfc show up in my SQL Server connection string (i.e. in the program_name column of sp_who2) if I go in to the DSN advanced settings and check "Application Name" under Client Settings.

However having done that I still don't see anything in the program name columns of the sp_who2 result set. Any ideas?

Thanks!