You could use iframe to do that, or XMLHTTP.
Those two are what I know, but for sure there are other alternatives.
With iframe, at the onchange of the first list, you call a jscript function.
In the jscript function, you create an iframe and therefore, direct the iframe to another cfm page. In that cfm page, you cfquery or whatever, to get the second list that you wanted. You could fill in the second list with parent.document.yoursecondlist with its values.

I hope I'm not confusing you.
If you understand the logic properly, this is not tough to do.