To access any database including MS Access from within a native Visual COBOL program you will need to create an ODBC DSN in order to connect to the database. You can then use this DSN in your EXEC SQL CONNECT TO statement in your program and then issue other EXEC SQL I-O statements against it. The OpenESQL Assistant tool can be a great tool to help you get started.
The following videos may be useful to you:
Using ODBC with Visual COBOL
OpenESQL Database Connections
OpenESQL Assistant
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