Currently, the way to install Cocos2D-ObjC, is to download the editor SpriteBuilder from the Mac Store. After installing SpriteBuilder, you can simply create a new project, and either continue in SpriteBuilder, or switch exclusively to Xcode.
Cocos2D-ObjC is hosted on github, where you always can find the latest versions and bug-fixes.
In case you have questions, please do not hesitate to stroll over to the forum and ask your question there. We also have quite a large forum database, so it is always worth searching for an answer.
We are in the process of updating Cocos2D-ObjC, so that you can install and use it, without having to go through SpriteBuilder. We have decided to add this functionality, as many did not like the SpriteBuilder templates. Until we complete that, you can find a stand-alone template here.
To get started, you can also download the extension library. It can be found here. The benefits are, that it is a stand-alone project, which will run right out of the box, plus it will show you a little bit of what Cocos2D-ObjC is capable of. Check out this video.