Mapping Center Answer:

Do you require a finished map, or just the data?

If it's just data, then your ArcGIS install already has the data; when you add data, just browse to:

c:\program files\ArcGIS\bin\Template Data\TemplateData.gdb There is a U.S. Counties dataset there and if you only need Colorado, then just set a definition query on your counties layer to: "STATE_NAME" = 'Colorado'

As for maps, I would direct you to:

http://www.state.co.us/maps/ - the Colorado state site

http://dola.colorado.gov/gis/politicalboundaries.html - they have the raw data there, it appears their map links are under construction.