Hi Hemmie,
It appears that the Visual COBOL PE product may not be licensed properly. When you first start Visual COBOL did you receive a Dialog box asking for an authorization code or to license the free version? Can you start the Micro Focus license manager from the Start menu and take a look at the installed licenses. What does it show?
There is documentation on installing the product and a getting started video that should be part of the download link.
There are additional videos here: