You aren't totally wrong on unlocking ECM's, that is required on a lot of newer vehicles. But it doesn't apply to the Cobalts. Also understand that that HP Tuners isn't a "canned" tune like is available (or was available, I think the EPA has cracked down on a lot of these) for some vehicles. You will have to make changes yourself or buy a tune from someone remotely.
What are you trying to accomplish with tuning? Are you sticking with a basically stock set up or going for upgraded turbos/cams/injectors? If stock we can walk you through the basics for tuning the MAF and other basic settings, although I'm still learning on mine. Right now, it's running well enough that I hate to mess with it, but I'm probably leaving power on the table. One of the many things to do this summer is to work on the tune some more.
HP Tuners can also be useful for trouble shooting issues, although if not going to the step of tuning with it a TECH2 clone is cheaper and probably better for trouble shooting.