Before you build your XML-enabled COBOL from the IDE, you must insert the following code on the first line of your program before the Identification Division:

$set {preprocess | p}(prexml) [{out | o} (outname)] [warn] 
     [{preprocess | p} (ppname)] endp

where the parameters are:

{preprocess | p}
The pre-processor to be used.
{out | o} outname
The fully preprocessed output source file, outname. This output source file contains native COBOL processed from the XML syntax.
warn
Cause diagnostic warnings on parsing to be presented by PREXML.
ppname
The preprocessor name you want to use to read source files and process COPY statements. Preprocessors can be nested.

For example:

$set p(prexml) warn endp