In order to invoke screen-scraper from ColdFusion, screen-scraper needs to be running in server mode. If you'd like a refresher on how to start up screen-scraper in server mode go ahead and follow the link, then return here.
Download the shopping.cfm file, then save it in a directory that will be accessible from your web server. Rename the file from shopping.cfm.txt to shopping.cfm.
Open up your web browser and go to the URL corresponding to the shopping.cfm file (e.g, "http://localhost/screen-scraper/shopping.cfm"). You'll see a simple search form. Type in a product keyword, such as bug, then hit the Go button. If all goes well the page will take a little while to load (it's waiting as screen-scraper extracts the data), then it will output the corresponding products.
If that didn't go quite as you expected here are some things to check:
Assuming that test worked, fire up your favorite ColdFusion editor and open the shopping.cfm file in it. The file is pretty heavily commented, so hopefully it makes sense what's going on. If not, try reviewing ColdFusion documentation or posting to our forum.
When you invoke screen-scraper as a server it creates log files corresponding to your scraping session in its log folder. Take a look in that folder for your Shopping Site log file and take a look through it. It should look similar to what you see when you run scraping sessions in the workbench.