It seems that many, especially newcomers, are not aware that Allaire created a free, limited functionality version of ColdFusion. Called ColdFusion Express, you can learn more at www.allaire.com/cfexpress.
There are links to pages the explain the differences between it and the full version of CF, what tags are and aren't supported, and of course a link to download it. You can also get the documentation online.
Charlie Arehart
Founder and CTO
Systemanage