I downloaded the VisualCobol Academic Courseware and couldn't run the COBOLClass to extract the sample files.
Any help would be appreciate it.
Are you referring to the Visual COBOL Course Material.zip file?
This would require that you have WinZip installed on your computer if you are running an older OS like Windows XP.
If you are running Windows 7 then you should be able to open this file using Windows Explorer and then copy its contents to your C: drive.