This is a stub entry. Somebody will add more information shortly. For example you could add some information, in the case you have a question, you ask yourself frequently (more or less), as long as it is somehow related to CoCoA 5.
How can I compile and use the lib with Windows
Please read the CoCoALib and Cygwin FAQ. There the instalation process is very detailed explained.
How can I compile and use the lib with MacOSX
Apple provides a set of development tools which among other things provides a version of the gcc and a development environment called Xcode. Some information about Xcode can be found in this wikipedia article or at the Apple Xcode information page. The version of the gcc shipped with the development tools of MacOSX 10.3 and 10.4 compiles the CoCoALib just fine.
At the moment the following articles are available for finding questions regarding CoCoA 5: