It seems NSSet and UIEvent are not in the cocos2d namespace.
From tutorial # 4 - How to fire some bullets:
“Then we could receive the touch event now.
Declare the callback function”void ccTouchesEnded(cocos2d::NSSet* touches, cocos2d::UIEvent* event);" in HelloWorldScene.h, and realize the function in HelloWorldScene.cpp."
That function signature will not compile.
I got it to work using this instead:
void ccTouchesEnded(cocos2d::NSMutableSet* touches, cocos2d::CCEvent* event);