Stored in the %ProgramFiles(x86)%\Micro Focus\COBOL Server/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.
CLASSPATH=$COBDIR/lib/mfcobolpure.jar:jar_path/mfconnector.jar:$classpath
where jar_path is the path to the archive files appropriate to your application server.