More generally these online services (Facebook, Twitter, any site that stores a username) use a database and tests for so see if the username is unique at the time of creation. Usually by querying the name before allowing the new account to be created (many do this with ajax requests as the user enters the name in the signup form).
Once the account is created then the server can be set up to handle the path name (using something like mod_rewrite) when a URL request is received, and pass along the information to a script that then accesses that user's information in the database and renders the page.
This blogpost & video seem to be pretty helpful but since I'm not sure what your setup is it should at least point you in the right direction... Also Coldfusion scares me.