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Coldfusion MX can now run standalone -- meaning you really do not need a webserver to run cf apps from it. However, most of the time, you usually have a webserver as well. CF 5 and earlier required a web server to be installed. When you request a .cfm page, the request had to be passed through the web server.
Coldfusion MX can be installed as either standalone or integrated with your web server, if one is installed. The installation will prompt you how you would like this to be installed.
There is a command line utility that comes with MX that will switch it over for you (c:\cfusionmx\runtime\lib\wsconfig.jar)
If you decide to go standalone, that means that to request a .cfm page, the request has to be passed directly to the coldfusion engine -- this is done by specifying the port that coldfusion is "listening" on. So for example, it may be
:8500 /myapp.cfm. It takes a little more configuration of where to put your files, etc.
Or you can just have it integrate directly with your web server, so that you can just send the requests through that.
One advantage to installing standalone, is that if you already have CF 5 or earlier version installed, you can have both versions running on your machine so that you can test your app on both versions on the same machine.