The browser will send cookies to any site that matches the criteria information sent by the server when the cookie was sent. This boils down to a match on the domain (not server) name, the cookie path (usually / ) etc. This all works fine if you have only one web server but as soon as you have more than one server setting cookies then you start to experience a number of issues which include:

1. Your server getting cookies that it did not set. This happens because there are other servers in the same domain that are setting cookies.
2. Loosing cookies becasue the browser stores a maximum number of cookies per domain (this figure may be about 20 cookies).

In response to your question, at some point in time, your browser has acquired a cookie from a Cold Fusion server that corresponds to the domain of your web server

There is a useful FAQ and the Netscape Cookie Spec which you might find to be useful.