It came with the standard mustang owners manual along with an owners guide supplement specific to the 00R. There were a couple of the 00R owners quide supplements on ebay a month or so ago.
Here are pictures of the cover of the 2000 Cobra R Owners Guide Supplement, plus the first couple of pages. Sorry the picture is blurry. This guide has 16 pages. The last two that Paul is talking about were sold by the same eBay seller. He had two of them, one sold for approx. $175, I think the other sold for about $85.