The conservation law is that the divergence of the covariant derivative vanishes:
$$
T^{0 \nu}_{\ \ \ \ \ \ ;\nu}=0.\qquad (*)
$$
To compute what this means, you need a metric. I'm going to assume that Kolb and Turner are using the Robertson-Walker metric, since this is very common in cosmology.
This metric is
$$
ds^2=g_{\mu\nu} dx^{\mu} dx^{\nu}= dt^2-R(t)^2 \left( \frac{dr^2}{1-kr^2}+r^2 d\theta^2+r^2\sin^2 \theta d\phi^2\right),
$$
where $k\in\{0,\pm 1\}$ is constant and determines whether the Universe is spatially flat, spherical, or hyperbolic, and $R=R(t)$ gives the evolution of the scale of the Universe with time. Then, you just have to use the formulae for the connection,
$$
\Gamma^{\rho}_{\mu\nu}=\frac12 g^{\rho\sigma}(\partial_\mu g_{\nu\sigma}+\partial_\nu g_{\mu\sigma}-\partial_\sigma g_{\mu\nu}),$$
where the $\partial_\alpha$s mean coordinate differentiation, $\partial_\alpha=\frac{\partial}{\partial x^\alpha}$,
the covariant derivative,
$$
T^{\mu\nu}_{\ \ \ \ \ \ ;\omega}=\partial_\omega T^{\mu\nu}+\Gamma^\mu_{\alpha\omega} T^{\alpha\nu}
+\Gamma^\nu_{\beta\omega} T^{\mu \beta},
$$
and the form of the stress-energy tensor given above in the question
to simplify (*). This gives
$$
\frac{\partial \rho}{\partial t}+\frac{3p}{R} \frac{dR}{dt}
+ \frac{3\rho}{R} \frac{dR}{dt}=0
$$
which, after it is multiplied by $R^3$, is equivalent to the equation Kolb and Turner give.