I got MySQL installed, but I think it would be more convenient for me to use the SQL I already got.
I am not quite sure what you are asking for here.
In Visual COBOL you can connect to databases that have an ODBC driver for native code or an ADO.NET provider for .NET managed code or a JDBC connection for managed JVM code by using OpenESQL which is the Visual COBOL embedded SQL preprocessor.
You can also connect to Oracle using Pro*COBOL and COBSQL or DB2 using the DB2 preprocessor and the DB2 ECM.
This is covered in the docs here
What is it exactly that you are trying to do?