There are broadly two ways of deploying COBOL Windows-based applications to the .NET environment. You can either use a traditional setup program or you can copy the files manually. In both cases you need the prerequisite software such as Enterprise Test Server and the .NET Framework installed on the target machine.
You package the application in a setup.exe file and distribute that file to users, who run it to install the application. To package the application you can use tools such as the WiX Toolset (either as a standalone application or an add-in for Visual Studio) or Microsoft's InstallShield Limited Edition. Refer to respective product's help for more details.
If you are deploying your COBOL application without a setup program, use the Xcopy command (which copies a directory structure) to copy your application files from the project output directory to the directory containing your installation.