The Cog VM is available from the Squeakvm subversion repository:
svn co http://www.squeakvm.org/svn/squeak/branches/Cog
The closure compiler is the standard compiler in Squeak 4.1 and Pharo.
So to get going with Cog get a Squeak or Pharo image, check-out the sources and build for your platform (the JIT is currently working on x86 Mac OS X, Win32, x86 linux and x86 FreeBSD).
Obsolete unless you’re trying to bootstrap closures into an old Squeak version:
Files for the Closure Compiler Bootstrap tested using Croquet.1.0.18 & Squeak 3.9-final-7067. The bootstrap was updated on 2008/11/14.