The two files that you have are not Visual Studio help files so cannot be installed into Visual Studio. As Chris says, after installing Visual COBOL, the documentation for it is available from the Visual Studio Help menu, although you might have to change a configuration option to view it.
If you want to use the two files that you have downloaded, the .jar file is an Infocenter-format version of the documentation, and instructions for using it are available from supportline.microfocus.com/.../MFInfocenter.htm. The .chm file is an HTML Help version of the documentation, and instructions for using that are available from supportline.microfocus.com/.../CHMHelp.htm.
Thanks