The Visual COBOL PE is not currently supported under Windows 10 but I am not sure that is your problem here.
It looks like your project may be located on a network share "\\mac".
Can you try the tutorial again only create the project on your local C drive and see if that works for you?
You can get a more verbose error message output by navigating to Tools-->Options-->Projects and Solutions and changing the Build verbosity to detailed or diagnostic.
Thanks.