Welcome to the wonderful world of eclipse/cfeclipse ;)
The other problem is that the snipex files are actually for a server and not for your client.
The snippet functionality in cfeclipse allows you to connect to a snipex server eg.
cflib.org and use/add other snippets to that online library.
The application.cfc and snipex.cfc files are downloadable so you can set up your own server to share snippets with friends/colleagues.
You don't actually need the snipex server to be able to use cfeclipse. If you're new to cfeclipse I would suggest leaving the snipex side of things for the minute and getting to grips with the complete change of UI from DWMX to cfeclipse.
If you need help with cfeclipse make sure check out the cfeclipse users google group.
Regards
Stephen