No... an web application server, by design and by technical limitations, is prevented from saving anything to the client's hard drive (thank goodness!).
You would need to write or buy a custom control (probably ActiveX) that would do it for you... you'd embed or otherwise call the control from your ColdFusion page... but the user would have to accept the control (by indicated they wish to download the code in a pop-up dialog) before they'd be able to accept the graphic. And, depending on which technology you choose to use (ActiveX or something else), you may build yourself into some browser and platform dependency issues.
-Carl