Hi Hugo,
You state that you have Visual COBOL installed on your Linux server.
I assume that you are referring to the Visual COBOL Development Hub product?
If you have Visual COBOL Dev Hub installed on your server and Visual COBOL Eclipse installed on your Windows system then you have everything you need to do remote development where your source code resides on the server and will be compiled and run there but your actual development work such as editing and debugging are done from the Windows system using the Eclipse IDE.
Please see the documentation for Visual COBOL Eclipse on Developing Applications on Remote Machines.