I found this one:
http://tiny-cobol.sourceforge.net/download.php
Not sure to undestand how to install it on Windows. Any other ?
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MicroFocus COBOL looks like you just download the installer (link at bottom of the page) and run it. This one runs with the .Net framework and claims to let you use Visual Studio 2005 Express if you have it.
Based on this list of COBOL compilers, the confusing part about most of them is they compile to C code. You also would need a C compiler installed (e.g., MinGW) on your computer to use them.