Download the latest version.
Move the package file to a location of your choice and uncompress the zip-file. This will create a sub-directory with name coco that contains all files and will be referred to as PATH_TO_COCO in the remainder of these instructions.
Change to the Matlab startup directory for your system (any folder returned by the Matlab-function 'userpath'). Create or open the file startup.m and add the line
Copy or move the file PATH_TO_COCO/coco_project_opts.m to the Matlab startup directory (the directory where the startup.m file created or modified in step 2 is located). Note: Do not add PATH_TO_COCO to the Matlab path!
After restarting Matlab, all coco toolboxes should now be in the search path.