Coldfusion is an application server. It rides on a webserver and when a webserver gets a page submitted to it with a .cfm extension, it is configured to send the page to the coldfusion server. The coldfusion server executes any code specified as coldfusion code. This is usually accessing, retrieving, updating, etc info in a database, which is the most common use. Then it serves the pages back to the web server, which displays the new and improved pages to the user through the browser.
This all rides on a J2EE server, and the Coldfusion code is actually compiled behind the scenes into Java code.
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