I have downloaded coldfusion but it won't show up in programs.

Downloading a file does not install it.

If you're using a modern browser, you can sometimes press CTRL + J to view your recently downloaded files, find it, and install it by double clicking it.  After the install is complete, a browser will open to the CF Administrator, where it finishes up the installation.  At that point, it should be in your start menu programs, under Adobe > ColdFusion 10 > Administrator