If you are looking for a FREE ColdFusion engine that, unlike ColdFusion Express, continues to be actively developed, look no further than New Atlanta Communication's "Blue Dragon Server" (http://www.newatlanta.com/products/bluedragon/index.cfm). Your best bet is to install version 6.2 alongside IIS on Windows XP Pro or Windows Server 2003, enabling ColdFusion on the default port 80, as well as its own port, 8080.
Linux however is more problematic. New Atlanta 's documentation recommends RedHat 9 for free BlueDragon, but RedHat no longer supports that distribution. The good news is that it will install on Fedora Core 3, though in my experience with this configuration, it won't integrate with Apache. Regardless, you can develop and test your ColdFusion apps on port 8080, making BlueDragon definitely worth a try on either Windows or Linux.