Here's the Deal
If you're new to the Mac world, you have a couple of areas that you need to get up to speed on. Cocoa is just one of these areas. Make sure that as you're learning Cocoa you don't let issues from these other areas trip you up.
Here are the areas you'll need to transition:
1. Mac vs. PC.
You'll need to get comfortable with Finder, rather than Windows Explorer (if you're coming from the Windows world). You'll probably have some favorite text editors and paint programs. You'll need to get comfortable with their Macintosh replacements.
2. Development Environment.
You're probably familiar with a development environment (Visual Studio or one of the Java ones). Xcode + Interface Builder is completely different. You can spend the next six months swearing at Xcode because it's not Eclipse, or you can surrender to the difference and learn what Xcode is all about.
3. Objective-C
Hey, this isn't C++! What are all of these square brackets? That's not the way it should be done! Again, you can spend the rest of your life complaining that Objective C is not C++ (or Java or whatever), or you can embrace the change and live with it.
4. Cocoa
Finally! Now that you're up to speed on the OS environment, the development environment, and the programming language, you can start communicating with OS X with the Cocoa APIs.
Good luck and welcome!