When the Visual Basic program makes a call to COBOL it has to be able to find the COBOL code and supporting library routines. At the time the call is made the system's current folder is determined by Visual Basic and is most likely the folder containing the Visual Basic start-up module.
There are therefore three options for ensuring the COBOL programs and supporting files can be found when Visual Basic makes its call:
Put the COBOL files in a folder on the PATH. To update the path, change the PATH statement in the AUTOEXEC.BAT file.
Make the code in the Visual Basic program specify a full path for the COBOL subprogram.
Put the COBOL files in the folder that will be the current folder at the time the call is made. (Not recommended as you will have a mix of COBOL application and Visual Basic system files.)