You can setup a routine in your CF application, which is typically placed in Application.cfc or Application.cfm (whichever you use) to parse quasi-SES-style URLs. However, at this level your URL would still need to have the CFM file in it (http://mydomain.com/index.cfm/one/two/three).

To use URLs that do not use a CFM file, you must handle this before CF gets the request (i.e., at the server level). The two ways to do this are (a) at the server level with a Rewrite Rule or (b) by using an established CF framework (Fusebox, Model-Glue, Mach-II, ColdBox, CFWheels, etc.), which often uses server RewriteRules to accomplish such tasks.

While many of the popular frameworks for CF allow the use of SES-style URLs out of the box (well, just about out of the box!), you would need to rebuild your app to use the framework and I know that often isn't realistic.

What server are you using?

If it's Apache, you would only need to enable the Rewrite Module (mod_rewrite in httpd.conf) and add your Rewrite Rules accordingly.

If you're on IIS, I've read about Rewrite Rule filters for IIS but have no experience with them (ISAPIRewrite seems to be the one that gets mentioned the most).

If you're using a Java server (Tomcat, JBoss, etc.), you also need to get a third-party filter, the most common of which is called UrlRewriteFilter.

Ray Camden has a nice blog post about handling SES-style URLs directly from CF (it's from 2005 but still has lots of good and relevant bits in it):

http://www.coldfusionjedi.com/index.cfm/2005/8/2/Ask-a-Jedi-Working-with-SES-URLs-and-ColdFusion

The first comment on this post contains an ISAPIRewrite Rewrite Rule sample (helpful only if you're on IIS, of course!). There are tons of Apache Rewrite samples out on the net. Just Google for "Apache Rewrite Rules Tutorial" and you'll get tons of hits. If you happen to be on a Java server, I can send you some samples (I had to setup these sort of rules for a site running Railo 3.1 on a Tomcat server).