The same call code that you used under Net Express should work in a managed COBOL program as well including the call-convention, etc.
To make the native code .dll available for the call you can either add a reference to it in your managed code project by right-clicking on the references folder, selecting Add Reference and then browsing to the location and selecting the .dll or by adding in the Project Properties-->COBOL tab the directive ilpinvoke"dllname" where "dllname would be the full location and name of your dll.
If this does not work then please show me the error that you are receving.
Thanks