The fact that you "borrowed it all of a friend" means that you are using the software illegally so you're off to a bad start, all things considered.
Cold Fusion is a wonderful system, but you will have several problems to contend with from the outset if you want to use it. These include the actual cost of Cold Fusion web hosting, finding a host that offers it to begin with, leanring to code it (although it is possibly one of the easiest of the dynamic languages to pick up) and successfully publishing it so that the whole lot works.
Most web hosts offer PHP and CGI support as a matter of course, or ASP support if you have a Windows hosted site, so it would make sense up to a point to use one of the those options since the likelihood is that you already have one or more of them available to you.
However, about the easiest way of password protecting one or more pages of your site and giving levels of permission based on log in is to use a small gem of a program. It's called CoffeeCup Password Wizard click here and you can download a working free trial to use then buy it if you want to continue using it.
There's a half price sale on for CoffeeCup software at the moment so you can get it, and their other products, for next to nothing and they are worth every penny. It is the simplest solution I know of and is very effective.