In C++ I would do this in the constructor, but on Objective C I do not know how I am supposed to initialize it.
For example I have a member variable that has to be a dictionary and I want to initialize this dictionary.
Generally, you use the init method. For example:
Myclass *anInstance = [[MyClass alloc] init];
Some classes have specialized initializers that will take parameters. A classic example is any UIViewController subclass that you implement. Does this look familiar?
MyUIViewController *viewController = [[MyUIViewController alloc] initWithNibNamed: @"MyUIViewController" bundle: nil];
Notice the initWithNibNamed bit. You can write custom initializer like that as well. I suggest reading code that others wrote. Look for the initializer and try to understand how it was written/"set up".
To make a dictionary, you can use NSDictionary or NSMutableDictionary. Those have several initializers. You can use initWithObjects: and then pass in a bunch of objects to store in the dictionary.