Are you trying to run this from within the IDE or outside of the IDE?
If you are running it from outside of the IDE then you should be running it from a Visual COBOL command prompt so that the environment is setup to point to where the run-time files are located.
Go to All Programs-->Micro Focus Visual COBOL for Visual Studio-->Tools and open up a 32-bit Visual COBOL command prompt. Go to your program directory and run the application again.