When you initially create a project you will have a default main executable module defined automatically. This single module may contain multiple forms and thus encapsulate the entire application into a single executable file.
If you wish to create additional modules within an application, you may do so by right clicking the mouse on the project name in the left windowpane of the PowerCOBOL Project Manager and selecting the Create Module option from the pop-up menu.
You may then create forms and other related objects under a new module. The module type will default to an Execute Module (.EXE file). You may change this in the module's properties to be a .DLL file if needed.