According to a number of posts from Microsoft this problem appears to be caused by an installation problem that occurred during the install of Visual Studio or of one of the Visual Studio service packs.
Performing an uninstall and reinstall of Visual Studio or the service pack in question appears to fix this problem.
You might check the install .log which would be in your %TEMP% folder.
Did you have a version of Visual Studio installed prior to installing Visual COBOL or were you installing into the default Visual Studio shell which is installed along with Visual COBOL?