Programming in Objective-C
Unfortunately, you'll have a tough time with this given your current toolchain. You definitely need a Mac (or a Hackintosh, which is still not cheap), and you really ought to have an iPhone to do development. (There is a simulator, and you can run your apps on it, but it isn't nearly as capable as a phone and doesn't give you the ability to test for things like slow network/no network connection for performance. The multi-touch is also not as capable as the real thing; if I remember correctly the phone can handle 5 touch-points while the sim can handle 2.)
This is one downside to development on the iPhone; the startup cost is somewhat prohibitive compared to Android. However, you have a massive market with the iPhone and it's about the greatest user experience in the smartphone market right now. You can read more about it from Apple, searching Google, and there are loads of books like this.
Programming in Objective C is a great book to start off with. It's written in a similar fashion as Kernigan and Ritchie's C book. It starts at the very beginning and doesn't make too many assumptions about prior knowledge.
"Learning Cocos2D" by Strougo and Wenderlich is pretty good, although there are some omissions. For example it doesn't discuss how to save state, although people might be expected to look elsewhere for that because it's standard iOS. http://www.amazon.co.uk/Learning-Cocos2D-Hands-Building-Addison-Wesley/dp/0321735625
On the other hand, Ray Wenderlich's website is fantastic and discusses a lot of stuff that doesn't make it into his book, including saving state. http://www.raywenderlich.com/
Also check out the official Cocos2D programming guide, which is probably how many of us got going. http://www.cocos2d-iphone.org/wiki/doku.php/prog_guide:index
If you don't actually know Objective-C yet, or any other language, Kochan's book is good: http://www.amazon.co.uk/Programming-Objective-Stephen-G-Kochan/dp/0672325861
If you already know something like Java, C++, or C# then O'Reilly's Objective-C Pocket Reference is like a mini-conversion course. It's pretty old but everything in there is stuff you'll still need. http://www.amazon.co.uk/Objective-C-Pocket-Reference-Andrew-Duncan/dp/0596004230