You know c++ and OpenGL and have a Mac, so you're pretty much set. Just download Xcode and the latest iOS SDK which are both free. Then build one of the OpenGL samples and you can go from there. Just make sure that all the game and graphics code you add from there on out is in c++ and separated from the Objective-C code in the sample. That way you can pretty much ignore the ObjC stuff and work in what you know, which will be good platform-independent c++ code.

Edit: Oops, I misread the part about not having a Mac. In that case you could get a Mac or go with something like Unity.

You will also need iOS devices of all kinds that you are going to support. The simulator is very useful but it can't be used safely to do all the testing (because of real scenario performance tests in example), that's why you need real iOS devices.

Another thing to decide on is what devices and iOS versions to support. I'd suggest iOS 4.3 and higher for the OS, and iPhone 3GS and higher for the hardware. That means you can support OpenGLES 2.0 and not have to worry about the older fixed-function pipeline stuff. Those older devices and iOS versions are a tiny percentage of the install base and can be pretty much ignored unless you have a specific reason to target them.

At the end of the day though, you are going to want a Mac.

I agree that the simplest thing is just to get a Mac Mini (what I use) or something and just go from there. You already know c++ and OGL, so developing straight on a Mac with Xcode is the shortest and least difficult way to go. I mean, unless your goal is specifically to develop on Windows with VS.

Another nice thing about simply doing the development on the Mac is that you can use the Simulator until you get devices to test on.

Check out Marmalade and cocos2d-x.