How to solve the "Cocoa/Cocoa.h" not found problem?

When another developer install on its machine the various SDK for each Mac OS X release, the projects he creates with Xcode have a setting describing which SDK to use.
When using this project on a machine without the SDKs installed, Xcode complains about "missing" system frameworks.
In the project window, select the project in the "Groups and Files" outline view (the first line with the small Xcode document icon), show the infos and the pop-up "Cross-Develop Using Target SDK" choose the adequate one for your configuration.