The forum you posted your question in is made with ColdFusion :), so yes it is
possible.
To make a forum all you need is Coldfusion and a database, such as Access,
mySQL, ect.
If you are new to ColdFusion, a better place to start would probally be
creating a guestbook. They are much easier to make, and you can use the
concepts from it, once you are confortable with them, to make a forum.
Try looking here:
http://www.developer.be/index.cfm/fuseaction/tutorialDetail/GroupID/9/tutorialNa
me/Creating_a_guestbook.htm