First, have a look on this brief technical introduction to Cobalt to understand basic principles of the framework.
Then, you are ready to start.
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 Cobalt
npm install -g cobaltians
This assume you have Node Package Manager LTS installed. Use sudo if needed.
3) Create your app from a sample
Choose a name and a base sample to create your first app :
cobaltians create myApp HelloWorld
This will ask if you want to create the corresponding iOS and Android projects.
Available samples are for example "HelloWorld" or "Catalog". Read more about them here.
4) Open the generated 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 :