Calories are a measure of energy, so technically warm food has more energy than cold food. It's possible that the way that it's cooked might add fat (saute, frying, etc), which will add to the chemical energy available.
But the real issue is a factor of absorption -- cooking makes more nutrients available that the body wouldn't otherwise be able to use. Do those nutrients have calories? It's possible, I guess, but to get the same nutrients, you'd have to eat more of the raw food.
I really don't know calories are calculated these days -- it used to be a measure of how much energy was given off when the dehydrated food was burned, but with the advent of things like Olestra that are considered '0 calorie' are only so because they can't be absorbed by the body.
I've heard that one of the suspected reasons for the advent of human civilization was because of cooking that might be the source of your question. From the Publisher's Weekly summary of Catching Fire: How Cooking Made Us Human:
By making food more digestible and easier to extract energy from, Wrangham reasons, cooking enabled hominids' jaws, teeth and guts to shrink, freeing up calories to fuel their expanding brains.
... but that doesn't specifically say that it added calories, as it "liberated mankind from the drudgery of chewing", which would've required energy. (sort of like the 'negative calories' of raw celery)
update (many years later):
I'm going to have to change my assumption that the articles I cited suggested that the changes made by cooking other than the addition of heat energy were purely mechanical.
A recent article made the news about the problem with the 'calorie' as a measure for dieters (which should technically have been 'Calorie', ie, 'kilocalorie'). But they mention both that the number printed on packages are not the same as bomb calorimeter, but modified by 'Atwater values' ... which assume that the digestability of all fats are the same, as are all carbohydrates, etc. But studies have shown that how you cook food can change its digestability, which significantly reduces the calories that you absorb. As mentioned in the recent calorie article, this has been known for decades, but isn't part of the formulas used for labeling:
Wrangham and his colleagues have since shown that cooking unlaces microscopic structures that bind energy in foods, reducing the work our gut would otherwise have to do. It effectively outsources digestion to ovens and frying pans. Wrangham found that mice fed raw peanuts, for instance, lost significantly more weight than mice fed the equivalent amount of roasted peanut butter. The same effect holds true for meat: there are many more usable calories in a burger than in steak tartare.
Yet the FDA’s methods for creating a nutrition label do not for the most part account for the differences between raw and cooked food, or pureed versus whole, let alone the structure of plant versus animal cells. A steak is a steak, as far as the FDA is concerned.
The article also explains more research into the linkage between obesity and gut microbes -- we can make both mice and people obese through fecal transplants. The problem is, each person may be able to extract different amounts of energy out of the same food, leading to people having enough calories to subsist well before they feel satiated.