Does paneer have to be cooked?
Paneer can be used as is. Sometimes it is fried to extend shelf life. Cooks will also sometimes fry paneer until it is slightly brown and then put the fried cubes of paneer in hot water for a few minutes. This makes paneer very soft. 

If you do cook paneer, it will not melt, like most other cheese varieties, because it's an acid-set cheese.