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You should use the cfdocument tag (with format="PDF") to generate the PDF by placing it around the page you are generating. You'll want to specify a filename attribute, otherwise the document will just stream right to your browser.
After you have saved the content as a PDF, use cfheader and cfcontent in combination to output the PDF as an attachment ("Save As") and add the file to the response stream. I also added deletefile="Yes" on the cfcontent tag to keep the file system clean of the files.
<cfdocument format="PDF" filename="file.pdf" overwrite="Yes">
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<title>Hello World</title>
</head>
<body>
Hello World
</body>
</html>
</cfdocument>
<cfheader name="Content-Disposition" value="attachment;filename=file.pdf">
<cfcontent type="application/octet-stream" file="#expandPath('.')#\file.pdf" deletefile="Yes">
As an aside: I'm just using file.pdf for the filename in the example below, but you might want to use some random or session generated string for the filename to avoid problems resulting from race conditions.
I'm not that familiar with ColdFusion, but what you need to do is set the Content-Type of the page when the user requests it to be application/octet-stream. This will prompt them for a download every time.
Hope this helps!