Hi there,
It should be possible to integrate the two using CMIS and/or webscripts since Alfresco and ColdFusion are both Java web applications – the former using Tomcat as its default container and the latter JRun (NB: JRun was the default for MX 6, the last version I worked with. Maybe it's changed, though.) As long as you deploy them to their respective servers and communicate to them using CMIS, webscripts, or web services, you should be able to get the two talking.
Darryl