I've modified an HTML document's DOM to add tracking parameters to links in outbound email messages using the jsoup library. (jsoup is an open source Java HTML Parser and can be download at http://jsoup.org/.) You'll note that it uses jQuery-like select methods, but all manipulations are performed on the server-side (I've also used it for removing ads from CFHTTTP-fetched HTML.)
Here's a quick sample of working ColdFusion code that will do exactly what you want on the server-side:
<CFSET TheHTML = CFHTTP.FileContent>
<CFSET jsoup = CreateObject("java", "org.jsoup.Jsoup")>
<CFSET TempHTML = jsoup.parse(TheHTML)>
<CFLOOP ARRAY="#TempHTML.select('a')#" INDEX="ThisLink">
<CFSET TheLink = thisLink.attr("href").toString()>
<CFSET TheHTML = replace(TheHTML, TheLink, "http://mywebsite.com/?u=" & URLEncodedFormat(TheLink))>
</CFLOOP>