Let $I_{n}=\int_{0}^{\infty}e^{-ax}(cos(x))^ndx$
Then we know that $I_{0}=1/a$, and $I_{1}=-a/(1+a^2)$
Now, using integration by parts,
$I_n=\int_{0}^{\infty}e^{-ax}(cos(x))^{n-1}cos(x)dx$
$=e^{-ax}(cos(x))^{n-1} sin(x)|_{0}^{\infty} - \int_{0}^{\infty}[e^{-ax}.(-a)(cos(x))^{n-1}-e^{-ax}.(cos(x))^{n-2}.(n-1).sin(x)](\int cos(x) dx) dx$
$=0 + a\int _{0}^{\infty}e^{-ax}.(cos(x))^{n-1}.sin(x)dx + (n-1) \int_{0}^{\infty}e^{-ax}.(cos(x))^{n-2}(1-cos^{2}(x)) dx$
$=a\int _{0}^{\infty}e^{-ax}.(cos(x))^{n-1}.sin(x)dx + (n-1)(I_{n-2}-I_n)$
$=a[(e^{-ax}\int (cos(x))^{n-1}.sin(x)dx)|_{0}^{\infty} -\int_{0}^{\infty} (-a).e^{-ax}(\int (cos(x))^{n-1}.sin(x)dx)dx] + (n-1)(I_{n-2}-I_n)$
$= -a/n + (a^2/n)I_n + (n-1)(I_{n-2}-I_n)$
So we have
$I_n = -a/n + (a^2/n)I_n + (n-1)(I_{n-2}-I_n)$
which gives us
$((n^2-a^2)/n)I_n=(n-1)I_{n-2}-a/n$
This is a recursive relation and gives a formula for $I_n$ in $I_{0}$ for n even and $I_1$ for n odd.