I have never used CF, but it is my understanding by viewing pro/con lists that database abstraction and ease of use is on the 'pro' side of CF. There is a pretty good chance you will need to write your own methods to obtain some of the functionality you wish.
Pardon my ignorance, but I do not understand the functions you describe.
What do you mean 'download the web page'? Do you mean sending a header command to force the client to save it instead of view it?
Regarding setting parameters on the client end and downloading the data, I am kinda shaky on that one too. Are you talking about a client side executable? How is the client downloading the data? What format is it arriving in? PHP most easily passes data from the client to the server via forms and the normal method of returning results is by displaying them, but anything is possible.
Sorry, I came in with more questions than answers 😃