If you are calling a native .dll from a managed .NET program then you are using a platform invoke or p/invoke. This is covered in the docs here: In Visual COBOL the hard work is done under the covers so you can call a native .dll from managed code using the standard COBOL CALL statement just like you would call it from native code COBOL. This includes 3rd party .dlls or Windows API's.
If the native .dll is in 32-bit then the managed project must be set to x86 so that it too will be generated as 32-bit. This will then run on both a 32-bit OS and a 64-bit OS.
You will need to add a reference to the 32-bit .dll within your managed project.