I download a sample of UICatalog and run it.When I compile it ,it shows the failed message:There is no SDK with the name or path \"iphoneos4.0\".I find the \"Base SDK\" of UICat
Select the root level of the project, in "Groups & Files". It's blue. Then hit command-I to get its Info.
Pick "Build" from the segmented controller at the top of the info window. In the first section of that panel you'll see Base SDK as one of the first few lines of options. Select the latest version of the SDK you find in there, and close the window to save your options.
Build-and-run the project, and you should be good to go.
EDIT, because I see from the comments that people are finding this answer who have a slightly different question than the OP's, so here's one other thing to try. It could also be you have "iOS Device" selected as your build target. If so, and if what you really want is for it to launch into the simulator, select "Simulator" instead.