You must have access to the Visual COBOL software in order to create this properly as the COBOL programs must be compiled as managed code using the ilsmartlinkage directive.
How are the COBOL programs that you are attempting to call from C# delivered to you? Do you have access to the source code or are you just provided with an executable such as a .dll?
Is the COBOL piece compiled with Visual COBOL? Is it unmanaged code or managed .NET code?