OK, I found the problem. You had to copy
* /Users/Alex/Documents/cocos2dx folder
* /Users/Alex/Documents/CocosDenshion folder
In xcode4.2, you may need to change Build Settings~~>Build Options~~>Compiler for C/C++/Objective-C from “GCC” to “Default compiler (Apple LLVM compiler 3.0)”
Sorry for lacking a Readme in the zipball.