Well, you're kind of right with all three. Computer languages are funny things. It's not like learning Japanese and then Spanish. In this case, Objective-C is essentially Cocoa. And both are offshoots of C++ which was a revision of C and cousins to C# and...well you get the idea. As for xcode, that's an environment (software) that Apple includes to simplify the developer process. In the simplest terms it's an application used to organize and compile the code for your created applications.
You would do best learning C++ first, or at the least get a solid foundation in it. The transition to Objective-C will be simpler but you can start with Objective-C. The best book on the subject is by Aaron Hillegas. Google him and you'll find all kinds of great tutorials etc.
Applications for the iphone require a little more learning due to the multitouch and other aspects of the hardware, but Apple does a nice job on their website.
I'm just learning myself, and the learning curve is steep but after a point, it gets much easier. It's like chess. You may understand how pieces move, but you make tons of mistakes at first. Then one day, the light bulb goes off and you see the big picture.
