You can create your own SQL Server database using the SQL Server Express product that is installed with the Visual Studio 2010 product.
You can write a COBOL program using embedded SQL statements by using the OpenESQL precompiler which is part of the Visual COBOL product in conjunction with either an ODBC driver for native code projects or an ADO provider for managed code projects.
Please see the documentation under Programming-->Data Access-->Database Access-->OpenESQL
I would highly recommend that you download the SQL Server Management Studio from Microsoft in order to make maintainance of your databases much simpler as it provides a easy-to-use graphical environment in which you can execute all of your maintenance tasks.
Without the SQL Server Management Studio you must execute all tasks through a command line interface or through tools like the OpenESQL Assistant.
Thanks.