Please see the Visual COBOL product documentation under the Database Access section here:

The databases supported depend on whether you are developing for native code, .NET or JVM.

For native code you can use one of the following methods:

OpenESQL = ODBC access to databases.like SQL Server, mySQL, Oracle, DB2
COBSQL = Interface to Pro*COBOL preprocessor from Oracle or Sybase
DB2 ECM = Interface to DB2

Managed code:

OpenESQL for .NET = ADO.NET Provider access to databases.like SQL Server, mySQL, Oracle, DB2
OpenESQL for JVM = JDBC access to databases.like SQL Server, mySQL, Oracle, DB2