In order for the ColdFusion server to process a page, save the ColdFusion page on a computer where ColdFusion is installed. If you are creating your pages on a local server (on which ColdFusion is running), you can save the pages locally; if you are running ColdFusion on a remote server, you must save your pages on that server.
If you are using ColdFusion's built-in web server, you would save your pages to cfroot/cfusion/wwwroot (or the wwwroot folder of another instance, if using ColdFusion Enterprise's ability to run multiple instances). .
If you are using an external web server, such as IIS or Apache, you would save your files to the location defined as the document root for your web site. For example, in IIS, you might save your files to c:\inetpub\wwwroot.