Click on the download link and follow the instructions. After installation you will find the directory, "C:\Program Files\Microsoft SQL Server 2005 JDBC Driver\sqljdbc_1.2\enu" which will contain the sqljdbc.jar file.
You will need to add "C:\Program Files\Microsoft SQL Server 2005 JDBC Driver\sqljdbc_1.2\enu\sqljdbc.jar" to CLASSPATH and specify the following in the isCOBOL properties file: