An example of a $K(\mathbb{Z}_p, 1)$ is the infinite lens space $S^{\infty}/\mathbb{Z}_p$, so $S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p$ is an example of a $K(\mathbb{Z}_p\times\mathbb{Z}_p, 1)$. Recall that Eilenberg-MacLane spaces are unique up to homotopy equivalence, so it is enough to calculate the cohomology of $S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p$.
When $p = 2$, the infinite lens space $S^{\infty}/\mathbb{Z}_p$ is infinite real projective space $\mathbb{RP}^{\infty}$. Exactly as in the $p = 2$ case, $S^{\infty}/\mathbb{Z}_p$ has a simple CW complex structure consisting of a single cell in each dimension (see Example $2.43$ of Hatcher) which gives rise to a chain complex
$$0 \to \mathbb{Z} \xleftarrow{0} \mathbb{Z} \xleftarrow{p} \mathbb{Z} \xleftarrow{0} \mathbb{Z} \xleftarrow{p} \mathbb{Z} \xleftarrow{0} \dots$$
If we use $\mathbb{Z}_p$ coefficients instead of integers, we obtain the chain complex
$$0 \to \mathbb{Z}_p \xleftarrow{0} \mathbb{Z}_p \xleftarrow{0} \mathbb{Z}_p \xleftarrow{0} \mathbb{Z}_p \xleftarrow{0} \mathbb{Z}_p \xleftarrow{0} \dots$$
The corresponding cochain complex (using $\mathbb{Z}_p$ coefficients) is
$$0 \to \mathbb{Z}_p \xrightarrow{0} \mathbb{Z}_p \xrightarrow{0} \mathbb{Z}_p \xrightarrow{0} \mathbb{Z}_p \xrightarrow{0} \mathbb{Z}_p \xrightarrow{0} \dots$$
The homology of this complex is the cohomology of $S^{\infty}/\mathbb{Z}_p$ with $\mathbb{Z}_p$ coefficients, so we see that $H^k(S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p) \cong \mathbb{Z}_p$ for all $k \geq 0$.
Note that $p$ is prime (not stated in the post, but it is in the book), so $\mathbb{Z}_p$ is a field. As such, the Künneth theorem tells us that
$$H^k(S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p) \cong \bigoplus_{i+j = k}H^i(S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p)\otimes_{\mathbb{Z}_p}H^j(S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p).$$
As $\mathbb{Z}_p\otimes_{\mathbb{Z}_p}\mathbb{Z}_p \cong \mathbb{Z}_p$, we see that
$$H^k(S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p) \cong \mathbb{Z}_p^{k+1}.$$
In particular, $H^k(S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p) \neq 0, \mathbb{Z}_p$ for $k > 0$.
Note, the Künneth theorem actually gives an isomorphism of rings
$$H^*(S^{\infty}/\mathbb{Z}_p\times S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p) \cong H^*(S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p)\otimes_{\mathbb{Z}_p}H^*(S^{\infty}/\mathbb{Z}_p; \mathbb{Z}_p).$$
Since $H_0(K(\mathbb{Z}_p,1)) \approx \mathbb{Z}$ and $H_1(K(\mathbb{Z}_p,1)) \approx \mathbb{Z}_p$, the universal coefficient theorem gives $H^1(K(\mathbb{Z}_p,1)) \approx \mathbb{Z}_p$, but I have no idea how to calculate any higher cohomology groups. Am I going about this the wrong way?
– Andrew Jan 10 '14 at 20:23