It sounds as if your Apache config is not correct, as it doesn't sound as if it's having the cfm files handled correctly.
First of all, is there a specific reason for using CF8? CF9 has been around for a while, so if going from scratch then I'd advise taking a look at that instead.
That aside, I'd check for the following in your httpd.conf (or whatever your apache config file is named)
Firstly, that .cfm is acceptable as a DirectoryIndex (can have other indexes as well)
DirectoryIndex index.cfm
Secondly, that the JRUN handler is configured properly (so again, in httpd.conf)
LoadModule jrun_module /opt/coldfusion8/runtime/lib/wsconfig/1/mod_jrun22.so
<IfModule mod_jrun22.c>
JRunConfig Verbose false
JRunConfig Apialloc false
JRunConfig Ignoresuffixmap false
JRunConfig Serverstore /opt/coldfusion8/runtime/lib/wsconfig/1/jrunserver.store
JRunConfig Bootstrap 127.0.0.1:51801
AddHandler jrun-handler .jsp .jws .cfm .cfml .cfc .cfr .cfswf
</IfModule>
This is taken from my development VM, I have CF8 as a single-server install in /opt/coldfusion8/
Once you have those lines in (with the paths/ports etc appropriate for your environment) restart apache and it should work fine.
If you have installed CF8 in a Multiserver etc. install then please specify and will look to adjust my advice accordingly