You can install and run ColdFusion on IIS (Internet Information Services) on Windows 2000 or XP Professional. In fact, you can install it into Apache on those two operating systems as well, but it is a bit easier to install and use on IIS than on Apache.
This will give you what web designers and developers call a local testing server, which basically means that you have a web server running on your computer, but it serves pages direct to your browser software, not to the general public. This is where the term 'local' comes in.
It is possible to use a home computer to serve web pages to the public but I certainly don't recommend it for a number of reasons, which include security, bandwidth restrictions imposed by your ISP, DNS resolution issues and all kinds of other things.
For some good general information on ColdFusion and getting started with it, try the following two links:
Now, most web hosts support PHP and MySQL, but fewer hosts offer Microsoft Access database support, and fewer still offer ColdFusion hosting. For that reason alone, it may be better if you think about using MySQL for your database and PHP for your dynamic language than Access and ColdFusion.
On the plus side, ColdFusion is one of the easiest of the dynamic web languages to learn and it can certainly produce some very, very complex web applications.
The two links above and the ColdFusion documentation explain where to store your files and how to browse them. I can't think of any single book I'd recommend when so much excellent information is available free online.
If you get stuck with specifics feel free to ask more questions.