Dan's answer is correct and elegant. I would just like to explain another way of computing the Fourier transform of the given impulse response. In the summary further below I'll also mention a third simple way to arrive at the same result.
For the direct computation of the Fourier transform of the given impulse response we need the identity $$\int_{-\infty}^{\infty}\frac{\sin(\omega t)}{\pi t}dt=\textrm{sgn}(\omega)\tag{1}$$ Knowing that the integrand in $(1)$ is the impulse response of an ideal low pass filter with unity gain, it is clear that for positive $\omega$ the integral evaluates to $1$, because it equals the filter's DC gain. Negative $\omega$ just inverts the sign, and for $\omega=0$, the integrand vanishes. Hence, $(1)$ is established without any difficult math.
The Fourier transform of the given impulse response $h(t)$ can now be computed as follows: $$\begin{align}H(\omega)&=\int_{-\infty}^{\infty}\frac{\cos(\omega_0t)}{\pi t}e^{-j\omega t}dt\\&=-j\int_{-\infty}^{\infty}\frac{\cos(\omega_0t)}{\pi t}\sin(\omega t)dt\\&=-\frac{j}{2}\int_{-\infty}^{\infty}\frac{\sin[(\omega+\omega_0)t]+\sin[(\omega-\omega_0)t]}{\pi t}dt\\&=-\frac{j}{2}\big[\textrm{sgn}(\omega+\omega_0)+\textrm{sgn}(\omega-\omega_0)\big]\\&=\begin{cases}-j,&\omega>\omega_0\\0,&-\omega_0<\omega<\omega_0\\j,&\omega<-\omega_0\end{cases}\end{align}$$
This means that $H(\omega)$ is an ideal Hilbert transformer with a high pass characteristic. As shown in the last equation of Dan's answer, since the given impulse response must equal the concatenation of an ideal high pass filter with an ideal Hilbert transformer, i.e., $$\mathscr{H}\left\{\delta(t)-\frac{\sin(\omega_0t)}{\pi t}\right\}=\frac{\cos(\omega_0t)}{\pi t}$$ and because $$\mathscr{H}^2\{x(t)\}=-x(t)$$ we obtain the following side results: $$\mathscr{H}\left\{\frac{\sin(\omega_0t)}{\pi t}\right\}=\frac{1-\cos(\omega_0t)}{\pi t}$$ and $$\mathscr{H}\left\{\frac{\cos(\omega_0t)}{\pi t}\right\}=\frac{\sin(\omega_0t)}{\pi t}-\delta(t)$$
Naturally, there are several ways of computing the Fourier transform of the given impulse response. Summarizing, three ways that are rather straightforward are:
1. Solving the Fourier integral directly using identity $(1)$, as shown above.
2. Realizing that the given impulse response is a modulated version of the impulse response of an ideal Hilbert transformer, as explained in Dan's answer.
3. Starting with the well-known Fourier transform of $\cos(\omega_0t)$ and noting that dividing by $t$ corresponds to integration (times $-j$) in the frequency domain. The integration constant is easily found by requiring that the resulting transform is odd (and purely imaginary), as must be the case for a real-valued odd time domain function.