file not found when running cobol application from file explorer

i am running cobol server. I have COBDATA set as an environment variable system wide (this is a development box). my project is managed code multiple output. If I open a Visual Cobol command prompt and execute the program, the files that the programs references are found. If I double click the program to run it cannot find the files even though it can see COBDATA. 

Is this normal behavior?