Click on the download link extract the files for your environment. After extracting, you can find the directory, "sqljdbc2_x.xenu", with the version you downloaded replacing the "x.x" in the foldername. You will find several .jar files in this directory. Use the one that is the same or less than your JRE version.
This jar file must be in the CLASSPATH. The easiest way to do this is to put the jar file in the %ISCOBOL%jars (or $ISCOBOL/jars) folder.
Then set the jdbc.driver and jdbc.url in your properties file. There is a list of common driver and URL settings in isCOBOL's documentation under isCOBOL Evolve/SDK User's Guide/ Programming Guides/JDBC
For instance, the common SQL Server settings would be: