I am new to cocos2d and never used it before.
I found a cocos2dx project online and I would like to use it. So my question is, how do i import an existing cocos2d project or how do I build an apk using cocos2d project files.
Another question is can the building be done on cocos2d, if so then how?
The Cocos2d family (like Cocos2dx and cocos2d-iphone) is actually just Game Engine. So you need an IDE (like Visual Studio) to develop your game.
First download the engine itself from here. After downloading and unzipping, you need to follow this page in order to create a new empty project.
At this point you will have a folder including cocos2dx engine and a simple Hello World project.
Now if you want to run the project and continue your development on your PC/Mac, you can easily go to proj.win32 or proj.macos folder and run the Visual Studio or XCode project. From there you can build a .exe (Win) or .ipa (iOS).
If you want to build a .apk for your Android device you can follow the this page showing you how to build project for Android.