Before you can mine Cobble Stone you need to craft a Pickaxe (Details here:
Solution for Time to Mine! In Minecraft: PlayStation 3 Edition (PS3))
Once you have a Pickaxe walk up to the grey blocks and mine them until you have at least 8 in your inventory. Walk up to your Crafting Table and press
and craft a Furnace.
A Furnace requires 8 Cobble Stones.Incase you need it here's what Cobble Stone looks like
Here's a video showing you.