I have downloaded the latest cocos2d from their site, and I have unzipped it. Now I am confused exactly how to implement it into an already existing project. What files do I drag over and is there anything else I have to do besides that?

Thanks!

You can link cocos2d into your project as shown here. He uses a special version that supports arc, but it works in exactly the same way with the original version. Then in a next step make sure that you import all the important libraries:

If you use sound you also will need:

Now you need to set up a rootview that supports OpenGL. Look at the Hello World example how they did this there. You should now be able to implement and display Cocos2d scenes on screen.