I have to install cold fusion. I know nothing at all about it. I was, in fact, surprised it was still being used.
Server is Centos5 with whm,
Apache 2.0.x
Can anyone point me in the direction even to get started? There is no open source version right?
There is no Open Source version of the Adobe ColdFusion engine, so you'd have to license it. If you have a copy of the server, this Adobe guide here might help you get it configured (although that's for v5).
A quick google indicates that there might be a few Cold Fusion compatible open-source servers around.
Adobe provides great installation docs: for CF8 and for CF9 (dunno which version you're going to use).
There are OSS alternatives, in fact. My personal engine of choise is Railo (there's Apache HOWTO), also you may want to look at the OpenBD.
P.S. If this was a joke, it was not funny at all:
I was, in fact, surprised it was still being used.