This might be old news but lemme add some prev experience here.
As already stated, .cfm is the file extension for Cold Fusion documents. .cfc are Cold Fusion Components, etc.
In order for them to run you need a Cold Fusion Server. To open and look inside they open with textedit just fine. To actually view them they do require the server to process the scripting inside them.
Consider them as .jsp, or .asp, etc. Both Java Server Pages, and Active Server Pages, as well as .net .aspx, all require some server side processing to render them.
You can try changing the extension but you'll end up seeing a lot of :
<cfquery name="myquer" datasource="mydatasource"> or <cfhttp value=""> etc etc that your browser cannot parse or understand.
Not to mention some programmers will use a sort of 'fusebox' methodology where as the .cfm page only has script tags that call other components for user interface rendering. In other words the page is pretty empty and the actual contents are generated and processed from other pages, then streamed back to the .cfm page to be viewed in the browser. So you'll have a page like 'myaccount.cfm' and all that's on it is <html><body><cfMyTag name="AcctInfo" value="Return"></body></html> and that's it. The actual coding behind the cfMyTag actually does the generation of content.
Last I checked there was no "OSX" version of the cold fusion server. The old school Cold Fusion Studio typically came with a single user license server for local development and testing but was mainly for Windows. When Macromedia bought out Allaire, they did away with CF Studio and went with Dreamweaver yet the CFServer was still available. At that time, CFServer was available for Unix, Windows, and almost Linux. Now that Adobe bought out Macromedia, the tool for development is still Dreamweaver but the CFServer I don't believe has yet migrated to the OSX platform even though the CF programming now is still sorta script based but more J2EE compliant.
Soo, short story, AFAIK no there is no way to 'run' the cfm document. Only thing you can do is view them in a text editor and sift through the HTML/Javascript/Cold Fusion scripting tags to see the content.