Here is how it works:
a.) Cold Fusion is its own server engine. If you install it, it will not, in any way, effect your installations of PHP or ASP. They all run run along side each other.
b.) The developer's edition is for 2 users, so yes, in order to run your own server it does need to be purchase - the only draw back. Since the majority of users use hosting services, this is more of a non issue than people make it out to be.
c.) Developing tools range from notepad (free), eclipse(also free), to something like Dreamweaver ($300). But just like php and asp, a developing tool is up to you.
If you, personally, really want to develop something, then it costs nothing since you can run the server in your own LAN. There is only a cost once you want to go public with it. But during the learning process, do you really need anyone (aside from yourself) to see it? If so, send me a PM and I can find some space for you.
EDIT: to elaborate in the installation, you are given the option to have cold fusion run with an existing server (IIS, Apache, etc.) or use its own. Again it will not present a conflict with any other server engine you are running.