Platform Invoke is a .NET technique that enables managed code to call unmanaged functions implemented in dynamic link libraries (.dlls). For more background, see the Visual Studio Help topic Consuming Unmanaged Code.
If you have existing COBOL that you want to call from managed code, you must first build it as a native .dll with the entry points that you need to call. You then add the .dll as a reference to your .NET project.
In your .NET project, you write a managed COBOL program and use CALL statements to call functions in the .dll. These CALL statements generate a platform invoke call if the CALL matches an entry in the native .dll.