If you specify the following in your autoexec.bat file:
set cobcpy=d:\myapp\copyfils;.;e:\common\copyfils
the Compiler searches for a copyfile first in the same directory as the source file, then in d:\myapp\copyfils, then in the current directory and finally in e:\common\copyfils.
If you would like to choose from different settings for COBCPY at the time you start Net Express, create a batch file for each variation, containing a line to set COBCPY, and a line to start Net Express:
set cobcpy=d:\myapp\copyfils;.;e:\common\copyfils mfnetx
You can ensure that other environment variables are set correctly by running the batch files from the command prompt in the Net Express group on the Start menu.