Since you are talking about group policies and ActiveX controls, I assume you are working on a Windows machine. Group policies for trusted sites only apply to primary domain names. Thus, IE assumes that sites are only accessed via port 80 (standard HTTP port) or port 443 (standard HTTPS port). Port 8500 is a non-standard port used by ColdFusion's built-in web server and would not be recognized by IE's security policies.
As an alternative, you might install IIS web server on your local machine. If you are on Windows Vista or Windows 7, IIS supports multiple hosts, so creating a host for each application you develop is feasible. If you are on Windows XP, that version of IIS only supports one host (localhost). An alternative to IIS would be Apache, which would allow you to run multiple local hosts even on Windows XP.