Co.cc is a domain registration company which you still have to register under in order to get the co.cc domain name. Most of their domains are free, and it's a popular free domain system, so we have it as one of the options you can change domains to in order to try and make it easier.
One problem to note though is not all of their domains are free - some are so-called "premium" domains, and the one you chose happens to be one of them. You can either choose to continue and pay the registration fee through them to get the domain, or you can swap to a different one; if you opt to change, register the domain with co.cc first so you know you have it, and then do another Main Domain change request to get it changed to the new domain.
In either case, once you've got a domain registered through them, set the nameservers to ns1.x10hosting.com and ns2.x10hosting.com.
