To Create a COBOL Microsoft Azure Service and Roles

Run Visual Studio as administrator.
Click File > New > Project.
In the Create a new project dialog box, select COBOL from the Language drop-down list.
Click Cloud
Choose the version of the .NET Framework you require.
Enter a name and location for your project and a name for your solution. Click Create.
Choose the roles you require, by clicking one or more of Worker Role, ASP.NET Web Role, WCF Service Web Role.
Click > and then OK.

The new solution is created and packaged as a cloud service. The cloud service project contains information about the roles created and the service configuration and definition files. The solution also contains skeleton projects for the worker and web roles that you specified. You can see all this in Solution Explorer.