You need to have a webhost, or your own server with Adobe ColdFusion installed. I recommend you start small and download the dev server at adobe. Hostek.com offers ~$8.00 hosting for ColdFusion
If you have any server like IIS, install a coldfusion version. configure it and run websites in coldfusion.
You'll need to download and install Coldfusion from Adobe. The installation wizards will, most of the time, configure everything you need to pull up a .cfm page. After restarting your webserver, and making sure coldfusion is running, you may need to add the ".cfm" MIME type to the web server.