Hiya - I did my coursework on the cold war (exam board was OCR)..
Websites - I mainly used the national archives (google: national archives cold war).
Documentaries: ermmm. There's a series of documentaries (24 of them... but I've only watched a couple).. If you put in 'cold war documentaries 1 of 24' into youtube you should get them up, and watch those that interest you..
The documentary 'behind closed doors' by Laurence Rees was quite good too.. (it's a BBC Documentary, but I don't know where you can find it, as I borrowed my teacher's DVD...)
Hope this is of some help... I'd recommend the national archives website first. If this doesn't help, ask your teacher to point you in the right direction?