Access to SQL Server from a different platform is done the same way almost all databases are accessed cross-platform. Download the driver from the vendor for the platform you’re running on.
The only driver that I’m aware of that Microsoft currently makes available that will run on your AS/400 is the Microsoft SQL Server JDBC Driver 3.0. It works because it is a JDBC Type 4 driver.
Your COBOL will make calls to a Java program that you will provide. The Java program can then use JDBC to access your SQL Server database.