Hi Partha,
Are you referring to programatically converting code pages within your application or doing a one time conversion of source code within Visual Studio?
If it is the latter of the two then you can open up the file in Visual Studio and then select File-->Advanced Save Options and then change the target code page to the one that you desire and then save the file.
If you wish to do this programmatically then you would look into using the .NET System.Text.Encoding class.
Please take a look here.
If you require a COBOL example then let me know exactly what it is that you are trying to do and I will work one up for you.
Thanks