If you don't want to bother with setting up a project and just want to explore the plugin features, you may download and open a sample HelloWorld project. (To be able to view the result in a browser, unpack the project under coldfusion root). To open go to File->Open Project and choose the directory where you've unpacked the project.
In all files under project you'll have a huge lot of useful features, such as auto completion for attributes, functions, components, etc; structure view for functions, parameters info, braces and tags matching and many other. You can find the complete list here
The paragraph below will be dedicated to your ColdFusion server configuration and IDEA run configuration creation, to make this sample project to greet the world.
As you might see, the HelloWorld.cfml uses StringCollection class, which is located at the same directory.
So we need to few more steps:
Go to File->New Project. Choose Create project from scratch if you want to start a new project or choose Create Java project with existing sources if you want to import an existing project.