Don't overlook the obvious! Adobe had quite a bit of free
documentation at the following link:
http://www.adobe.com/support/documentation/en/coldfusion/
Here are just a couple of downloadable titles you might want
to start out with:
Configuring and Administering ColdFusion MX
Getting Started Building ColdFusion MX Applications
There are plenty more titles at this link that you'll find
very helpful. Also, spend some time on the web looking at the
forums (including this one), blogs, etc about ColdFusion. You might
also want to check and see if there is a user group near you.
Hope this helps!