See the Pinvoke example, which is with the examples under the Samples folder. See Start menu > All Programs > Micro Focus Visual COBOL 2010 > Visual COBOL Samples.This example contains the following of interest:
Notice that the built sub.dll is included as a reference in the project, whereas the source file sub.cbl is not included, because it is unmanaged code and not compiled as part of the project. You can view the source file by opening it from the File menu.