First, have a look on this brief technical introduction to Cobalt to understand basic principles of the framework.
The full documentation Wiki is here.
1) Install Android Studio or XCode
This step can take some time. If you already have them on your computer, be sure to have latest XCode version and lastest SDK and JDK for Android Studio.
2) Install Git if not already on your system
Try the samples
Choose a sample between
git clone it for your platform :
git clone https://github.com/Cobaltians-Samples/Samples-HelloWorld-Android.git //or git clone https://github.com/Cobaltians-Samples/Samples-HelloWorld-iOS.git
Then go to the cloned folder and don't forget to init git submodules :
git submodule update --init
Then, open the iOS or Android project and enjoy !
Alternatively you can add Cobalt to an existing project :
Something not clear ?
Where to go from here ?
Dive in, jump to the documentation wiki, there is great guides to help you :