This is a partial answer. We must have $\Re s>-1$ for the integral to converge.
For $0<r<1$, let the contour $C_r$ be the boundary of $\{z\in\mathbb{C} : r<|z|<1, 0<\arg z<\pi/2\}$ (with the usual "counterclockwise" orientation), consisting of two quartercircles and two line segments. Then, assuming the principal values of $(\ldots)^s$ taken, we have (by Cauchy's integral theorem)
$$0=\int_{C_r}(1+z^2)^s\frac{dz}{z}=\int_r^1\frac{(1+x^2)^s-(1-x^2)^s}{x}\,dx\\+i\int_0^{\pi/2}(1+e^{2i\phi})^s\,d\phi-i\int_0^{\pi/2}(1+r^2 e^{2i\phi})^s\,d\phi.$$
Taking $r\to 0$, and substituting $x^2=t$, we get the "$+$" version of
$$2^{s+1}\int_0^{\pi/2}(\cos\phi)^s e^{\pm is\phi}\,d\phi=\pi\pm if(s),\quad f(s)=\int_0^1\frac{(1+t)^s-(1-t)^s}{t}\,dt,$$
and the "$-$" version is obtained similarly. Hence, the given integral is equal to $2^{-s-1}f(s)$.
The equality $f(s)=f(s-1)+2^s/s$ allows to compute $f(s)$ for $s\in\mathbb{Z}_{\geqslant 0}$.
(sin(su))(cos u)^s du
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topi/2
– Rohan Asif Oct 09 '19 at 10:31