I've downloaded and installed Cocoon. The installation download says you don't need any extra files, but you will need a Java VM and a servlet container like Tomcat.

Don't rely on the installed installation guide, it doesn't guide you through the version maze with your VM and Tomcat installations. Use the online guide.

It's quite powerful, which means lots of new concepts. I wondered how you actually configured it, until I worked out that you edit xml files, there is no GUI.