I'm going to presume you don't mean your application code, but instead your admin settings. In that case, no, there is no one file, but several. And you shouldn't just copy them from one machine to another. Instead, what you want to use is the coldfusion archive or car file mechanism.
See the cf admin, packaging and deployment section. Then when you try to use the car feature, be sure to enable pop-ups in your browser. For more, look up docs on using the car feature, to first export out some or all admin settings to a car file, then to import that into the other cf instance.