I will cover Xcode, Objective-C and the cocos2d framework. I will not cover everything down to the basics so you should have some understanding of programming in general.
What you need
Mac OS X Snow Leopard
Mac OS X Lion (dp)
Xcode 4.1 (dp)
checkout latest cocos2d sources via git
git clone git://github.com/cocos2d/cocos2d-iphone.git
git checkout develop
Install Xcode 4
Install cocos2d Xcode 4 templates
tar -zxvf cocos2d-iphone-1.0.0-rc.tar.gz
sudo sh install-templates.sh
Start Xcode and start a new Project.
As template choose "chipmunk" from the cocos2d category.
Chipmunk is one of the 2 built in physic engines in cocos2d. I choose this instead of "box2d" cause it's faster and not written in (obj)c++.
You can also create a simple cocos2d project without any physics engine.
Next you must choose a name for the game, we go with "TestGame" in this tutorial. When asked where to save the project i recommend you make a new directory dedicated to this tutorials. Make sure to select "create local git repository for this project" it will allow you to use snapshots and versioning. We will cover git later in more detail.
You will now see your project in the Xcode workspace.
You can start your game by pressing the play button in the upper left corner.
This will start the application in the iPhone simulator (default iOS on iPhone4)
Gratulation, we a have a working iOS game. In the next part we will look at some of the Objective-C concepts and start to implement a real game.