Stored in the %ProgramFiles(x86)%\Micro Focus\Visual COBOL\javaee\javaee7\appsrv directory, where appsrv represents a subdirectory named for your Java application server and, in some cases, the version as well. For a list of supported application servers, see the Java Application Servers section of the Supported Operating Systems and Third-party Software topic.
set classpath=%ProgramFiles(x86)%\Micro Focus\Visual COBOL\bin\mfcobolpure.jar;jar_path\mfconnector.jar;%classpath%
where jar_path is the path to the archive files appropriate to your application server.