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The best way by far to gain a great understanding of Flex in the shortest amount of time is to simply go through the Flex Builder help system "Adobe Flex 3 Help" top-level topic and read each topic/compile each program.
You will gain a good overall understanding of Flex, how to break an app into components, etc.
I went through the help three times and got Flex 2/3 certified.
If this post answers your question or helps, please mark it as such.
I suspect that as a ColdFusion developer you're used to serving up separate pages for different parts of a web application, but Flex development isn't structured around pages - it's more like writing a computer program outside a browser. Check out Flex in a week: http://www.adobe.com/devnet/flex/videotraining/
Thank you both for your input... Yes I am very used to the CF way of doing things so I guess thats why I am getting such brain block on how all this goes together. The videos in that training session look great and look to clear up some of my answers. I guess it will just take time and work.