I got it working on Manjaro, if you're interested in the setup, it's pretty straight forward.
1) Install Manjaro
2) From a terminal, install a package called yaourt
sudo pacman -Sy yaourt
yaourt is a special package manager, it downloads source code, compiles it, and then creates a package for it and installs it.
3) Compile and install gnu-cobol
yaourt -Sy gnu-cobol
Done.
A word of caution about yaourt. It takes straight from code posted to the Arch User Repository. Anyone can post anything here, it's not reviewed by any maintainers, and it's not signed or verified. For this reason, yaourt will ask you to look at the package build prior to installing to make sure you're not inadvertently installing a rootkit.
On my box, I happened to have all the common linux build utilities--like gcc, make, and so forth. You will probably need those in order to get gnu-cobol to compile as it is (surprise surprise) written in c. yaourt/pacman will tell you what you're missing if they can't complete the requested operation.
As for getting it working on Windows--it uses the common gnu dev toolchain, so if you install Mingw on your windows box, and probably cmake as well, then you can probably build your own cobc on windows from the gnu-cobol code base. The only hangup you might run into is that I see, by default it uses ncurses library for screen io. If it has a fallback to stdio, then you'll be fine, otherwise you'll have to get ncurses first. That might be a little bit more ugliness than you want to wade through, though.