Alberto,
Also please be aware that in Net Express when running from within the IDE the current directory was set as the project directory by default so your .bat file would be found if located there.
In Visual COBOL when running from within the IDE the currently directory is set at the Output directory by default. This is the folder in which your compiled executable files would be placed, i.e proj\bin\x86\debug in Visual Studio.
With your command if the .bat file is not in the current directory it will not be found.
Thanks