The COBOL program that contains your test case(s) must be compiled to one of the executable formats: .dll .int, or .gnt.
cbllink -D mytestfixture.cbl
cobol mytestfixture.cbl gnt"";
Once it is compiled, you must run the resulting file from the command line.
You must compile the procedural managed COBOL programs as .dll using the the ILGEN(sub) directive. For example:
cobol myunittest.cbl ilgen(sub); mfurunil myunittest.dll