Where To Download:

http://code.google.com/p/cocos2d-iphone/downloads/list

Requirements:
•    Mac running Mac OS that supports the iPhone SDK (mine is Mac OS 10.5.6)
•    Xcode version 3 or newer
•    iPhone SDK

Steps To Install
1. Download the .tar.gz file from the where to download url.
2. Extract the files.
3. Now you’ll want to install the useful project templates.
4. Open up a Terminal window to the directory you downloaded Cocos2D to, and enter the following command: ./install_template.sh -u

Congratulations.  You have installed cocos2d.

For details regarding the features of cocos2d, see http://code.google.com/p/cocos2d-iphone/