That type of URL will only work if you have rewrite engine in place for your server, could you provide some more information as to whether you are using IIS or Apache and if you using IIS what rewrite engine your using.
Without that, the url should look something like this
http;//localhost/index.cfm/page/index if you have SES turned on or
http;//localhost/index.cfm?event=page&action=index if SES is not turned on.