It is ColdFusion - all one word, with capital c for Cold and capital f for Fusion.
It used to be called Cold Fusion prior to 1999, but it has been called ColdFusion for more than 10 years now (source: Wikipedia).
What irritate me is job ads, resumes, blog posts by people who are supposedly working with CF on daily basis and still incorrectly spell ColdFusion. Most common mistake is Cold Fusion (which forgivable given that it was called that). But others variations such as: Coldfusion, Cold fusion just don't sit right with me (except maybe for coldfusion).
Maybe I am just crazy.