Message files use so that the COBOL always displays them using the appropriate codeset for the environment an application is running in. You write each message file as an ASCII file with the file extension .err, and then compile it into a language file (which has the file extension .lng). To make messages available in more than one language, you write one message file per language, and compile them into separate .lng files.
You can open, read and close message files with the NLS library routines.