I wanna make an effect for my game.
I am using Sprite-Kit and Cocos2d-x. I want to make dust, smoke, or some kind of effect like these such as this game.
Which programs can I use?
I'd say you'll want to look at Sprite-Kit's particle system. It looks like those dust clouds are a single sprite and the particle system takes care of how it is emitted. The iOS Developer Library might be a place to start: https://developer.apple.com/library/ios/documentation/IDEs/Conceptual/xcode_guide-particle_emitter/Introduction/Introduction.html
You can use any program that can make .gif files or .png files. With the png files you can make an image sequence what you do in your programming. You can use After effects, or you can draw the frames by yourself with Illustrator the export those.