How to call C++ static method

Question

Use :: instead of .

MyObject o = MyMath::calcSomething();

When you are calling the method without the object of the class you should use :: notation. You may also call static method via class objects or pointers to them, in this case you should use usual . or -> notation:

MyObject obj;
MyObject* p = new MyObject();

MyObject::calcSomething();
obj.calcSomething();
p->calcSomething();

What am I doing wrong?

You are simply using incorrect syntax... the :: operator (scope resolution operator) is how you would access classes or members in different namespaces:

int main() { 
    MyObject o = MyMath::calcSomething(); // correct syntax
}

Do I have to instantiate MyMath?

No.

For this case, you want MyMath::calcSomething(). The '.' syntax is for calling functions in objects. The :: syntax is for calling functions in a class or a namespace.

Call MyMath::calcSomething()

Try this way

#include <iostream>
using namespace std;
class MyMath {  
public:
    static MyMath* calcSomething(void);
private:
};
MyMath* MyMath::calcSomething()
{
    MyMath *myMathObject=new MyMath;
    return myMathObject;
}
int main()
{   
    MyMath *myMathObject=MyMath::calcSomething();
    /////Object created and returned from static function calcSomeThing   
}

Thanks