If you want to build your own Cocoon application, then create a subdirectory in the build\webapp directory and put the files in there. The easiest way is to copy an existing subdirectory. For example, here are some instructions for creating a subdirectory called hw and putting the Hello World! files in that subdirectory:

cd c:\cocoon-2.1.7\build\webapp
mkdir hw
xcopy /s/e samples\hello-world hw

Now you can visit URLs like http://localhost:8888/hw/ and http://localhost:8888/hw/hello.html.