Cocoon is described at http://cocoon.apache.org/. It can be downloaded from http://cocoon.apache.org/mirror.cgi. Click on the link that is next to ZIP format (Windows platforms):. When I did this it said cocoon-2.1.7-src.zip, but a later release is now available. So download that and replace any references to 2.1.7 that are given below by whatever is appropriate for you. Note the file cocoon-2.1.7-src.zip is nearly 50MB.

Save the file cocoon-2.1.7-src.zip in some directory on your computer such as c:\install.