You can use all of these programs with Dreamweaver. The big advantage of Coldfusion is though that it is, just like Dreamweaver, an Adobe program, so Dreamweaver has a lot of build in ColdFusion features
Regarding databases: I alway use mySql but I know a lot of people using MS SQL.
A lot of people use PHP because it’s free. Basically, the programs mentioned before (PHP, ASP, Coldfusion) are, to say it simple, programs that are interacting with the Database (MS SQL, MySql, Access, …etc). So it would be a wise start, since you already up to speed with HTML and CSS, to read into these subjects. There are a lot of good tutorials here on Sitepoint and there are very good books available as well. You will notice that the start will be a tough one but when you start to understand the principles it can be very satisfying. And if there are things you don’t know or need help with, just visit Sitepoint