If you haven't already check to make sure your build environment is good. My experience with OSX on a PC has been that a lot of stuff, like XCode and some dev libraries aren't installed.
Once you validated your build environment spend sometime getting use to XCode and Interface builder. Understand how the two work together. XCode and Visual Studio are quite different, but once you get the hang of XCode and Interface builder you'll dig it.
Then get this book from Aaron Hillegass. This is a great resource all Cocoa programmers should have. You may also want to grab one of the iPhone development cookbooks for some good examples and patterns on how to build your apps.
When you first start to develop apps start with smaller projects at first, stick with a single framework for these little projects. Once you master or semi master the framework pick another one and add onto your knowledge base.
Lastly, build yourself a nice application, sell it, make some money and buy yourself a Mac ;)