It really is quite easy to do with AppleScript Studio, don't know about Cocoa though. Pretty simple, make an empty AppleScript studio project, open the NIB with Interface Builder, drag in a web view, name it and associate it with your main AppleScript, then open the Application AppleScript attributes and find the Application >> launched attribute, tick the checkbox, save the NIB then open your AppleScript and put this code in:
CODE
on launched
loadPage from "http://the-site-you-want-to-open.com"
end launched
on loadPage from theURL
set URLWithString to call method "URLWithString:" of class "NSURL" with parameter theURL
set requestWithURL to call method "requestWithURL:" of class "NSURLRequest" with parameter URLWithString
tell window "-whatever your window name is--"
set mainFrame to call method "mainFrame" of object (view "--whatever your web view name is--")
end tell
call method "loadRequest:" of mainFrame with parameter requestWithURL
end loadPage