If you are compiling from the command you should be using something like
cob -xI COBWIN2 -o newrts
Basically you are invoking cob, the cobol compiler, with the -I COBWIN2 to indicate that the COBWIN2 library needs to be linked into the compiled program.
I don't have a Visual COBOL with Eclipse immediately available. If the command line doesn't help, please I'll look into setting one up on Monday.
Thanks,
Larry Hines