Male cones produce what, which contains cells that develop into sperm

Male cones produce microspores.

Pollen grain contains cells that develop into sperm.

Explanation:

Gymnosperms are seed-bearing vascular plants. They produce cones and seeds to carry their reproductive structure. They produce both types of cones (male and female) for fertilization by making gametes. Male cones produce microspores to make pollen grains. Female cones give rise megaspores which produce ovules. Pollen grains spilt up to make sperm. One of these sperms fuse with egg cells for the fertilization.