You should pass strings as I do, that is, checkVat("xx","yyyyyyyyy") and not checkVat(xx, yyyyyyyyy). In fact, I have just run the following code, and it gives me the details of a well-known bank in the UK:
<cfscript>
ws = CreateObject("webservice", "http://ec.europa.eu/taxation_customs/vies/checkVatService.wsdl");
response = ws.checkVat("GB","244155576");
nm = response.getName();
addr = response.getAddress();
</cfscript>
<cfoutput>
Name: #nm#<br>
Address: #addr#<br>
</cfoutput>
<!--- Uncomment the following line, to see the various methods you can invoke to obtain information the response contains --->
<!--- <cfdump var="#response#"> --->