Does anyone know how to install cocos2d so it shows up in the new projects template window?
Try placing the template in this directory:
/Developer/Platforms/iPhoneOS.platform/Developer/Library/Xcode/Project Templates/Application/
Unless there's a Project Template file included with the cocos2d distribution, you'll have to make one yourself which, sadly, I don't know how to do exactly (I could probably stumble my way through it, but that's not helpful to you...).
However, when you eventually do have your Project Template, you need to copy it into: /Developer/Platforms/iPhoneOS.platform/Developer/Library/Xcode/Project Templates
This may be of help to you:
http://iphonesdkdev.blogspot.com/2009/01/xcode-template-for-cocos2d.html
Cheers!
Here's a great tutorial for Cocos2D that's also got a template to get you started, from Keith Peters at Bit-101: http://www.bit-101.com/blog/?p=2115