I have not come across any studies that show that people with blood group O are protected from HIV/AIDS. However, there have been a number of studies, including those done in Kilifi that show that people with this blood group are protected from severe malaria. The malaria parasites live in the red blood cells. It is thought that blood group O red blood cells do not help the parasite show some of its very dangerous characteristics that enable it to hide from your immune system, thereby causing severe malaria.
In HIV/AIDS, it would be hard to imagine how that is possible biologically as the virus lives in white blood cells. However, there have been a number of other studies that show that blood group O protects against heart diseases among other conditions.
Having said all that, the best way to protect yourself from HIV/AIDS is to have protected sex.