You need to set values for the check-boxes first of all.
then add the checkbox line in the php accordingly.
$message=
'Name: '.$_POST['cfname'].'<br />
Phone: '.$_POST['cfphone'].'<br />
Email: '.$_POST['cfemail'].'<br />
Message: '.$_POST['cfmessage'].'
Checkbox: '.$_POST['cfselection'].' // Add this line
';
Try that :)