How do I play the Colle System as white? I started playing the Colle system as white about 3 months ago. I have played 9 league games with it and lost every one! The sequence of moves that cause me the most problems is 1.d4 d5 2.Nf3 Nf6 (note that black already has two units hitting 
the vital e4 square) 3.e3 Bf5 4.Bd3 Ne4. This might well be a bad move by black, but I have no idea how to play against it. Trying to dislodge the knight with f2-f3 would entail me having to move my f3-knight again and the pawn move would weaken my kingside.The only plan I use at the moment is to play Nbd2, c3 and Qc2 to force black to exchange. But that gets rid of my important d3-bishop and stymies any notion of continuing with a king-side attack.
It would be easier to answer would you show us some of your games where you tried the f3-plan.

5.Ne5 or 5.0-0 aiming for a quick f2-f3 indeed make sense. However, I would argue that the most logical answer is to quit your Colle schemes (after all, Black has a strong grip on e4...) and switch to 5.c4 (or 5.0-0 first, followed by 6.c4)

After 4...Ne4 Black has played twice the same piece and reduced his control of d5. The early development of Bc8 has also left b7 unprotected, which may become a target to a later attack by Qb3.

After the approximative line 5.c4 e6 6.Nc3 (6.Qb3!?, 6.Qc2!?, 6.0-0) c6 7.Qc2 Black cannot maintain his e4-outpost:

7...Bb4 8.0-0

7...Nxc3 8.Bxf5 exf5 9.bxc3 and Black center will collapse to a later cxd5 and c3-c4.

7...Nd6 might be best but Black has lost some time. You can try to exploit this by giving a pawn with 8.Bxf5 Nxf5 9.0-0 followed by e3-e4, or play more conservatively with 8.b3. White must be slightly better.