A slang term for ecstasy. MDMA is crushed and put into Cold FX capsules, where it is disguised as cold and flu medicine. Originally a trick to get people to take ecstasy, but was eventually adopted as a slang term for the drug. Also, a bottle of Cold FX is less conspicuous than a baggy of your favourite shit.
Guy 1: "Aw man, I'm not feeling too well, I think I have a cold..."