Most users buy ColdFusion electronically, they just download the software. But some users prefer physical media, and so we sell ColdFusion on DVDs, too.
And, we've been informed that some of the first ColdFusion 9 DVDs actually contain ColdFusion 8. If you downloaded ColdFusion 9, then you're fine. But, if you received a ColdFusion 9 DVD that seems to contain ColdFusion 8, see this post by ColdFusion Product Manager Adam Lehman.