The response that Raquel gave was not a "stupid" response as it is most frequently the cause of an authentication error being returned for the PE product and so it is best to rule this out as the cause from the get-go.
I just tested it here and it worked fine. I downloaded and installed the Visual COBOL for Visual Studio PE version, ran it and choose to license the free product. When I provided my e-mail address and clicked authorize I was presented with a dialog that states that authorization was successful and I can use the product.
Which product version did you download, the Visual Studio version or the Eclipse version?