To build a COBOL project you use Apache Ant.
You cannot create COBOL projects using Visual COBOL Build Tools for Windows, so before you can build a COBOL project with Visual COBOL Build Tools for Windows you must have created it with Visual COBOL.
See To Build a Project Using Apache Ant for an overview of using Ant to build COBOL projects, or see the Micro Focus Ant User Manual for full details.