Solutions are a Visual Studio concept. A solution is a container holding one or more projects that work together to create an application. Splitting your solution into a number of projects has several advantages:
A solution has the extension .sln, and is a human readable text file, which you could edit, though we recommend that you use the Visual Studio IDE to do so.
A COBOL project has the extension .cblproj, and again is human readable. It is in msbuild format, which is explained in the Visual Studio Help. Different types of project have different extensions, so for example a C# project has the extension .csproj.
Templates for different types of COBOL projects are supplied. Each template creates the appropriate file structure to hold the project and defines the appropriate build settings.
See the Visual Studio Help for more information on solutions and projects.