Tiny Cobol only currently works with Linux or FreeBSD on an i386 machine. It has now succesfully been compiled on the win32 platform using the cygwin tools, try looking through the mailing list archives if you are interested in doing this (binaries might also be available). It will most likely not compile on anything else, although you're welcome to try.
You can download Tiny Cobol from it's website at Sourceforge: http://tiny-cobol.sourceforge.net. There are some RPM versions available, but most people will just want to download the GZIPped versions. The size of the file is less than half a megabyte.
Copy this file to somewhere like /usr/local/src and unzip it (it will create it's own directory). Enter the directory and take a look at the README file and read completely the INSTALL file. The INSTALL file will tell you what libraries you need; if you don't have any of these libraries then install them from your distribution CD or download them from the suggested sites. It will also tell you that you need GCC installed, if this isn't installed you won't get far so do this now, again from your distribution's CD or ftp server or by downloading it from GNU.
To prepare for compilation go to the Tiny Cobol directory and type ./configure (there are several options to customise configure, see the file INSTALL for details). Then type `make' to compile. You don't need to be root to do this.
Now change directory, `cd test_suite' and type `make tests'. You'll see a stream of results as the newly compiled compiler goes to work on the test programs. Not all of these will pass, remember this is alpha software, but most should.
Now go to the original directory and type 'make install', which will copy a library, the compiler and the preprocessor and a few other files so they are ready for use. You will need to be root to do this. The binaries are put in /usr/local/bin, the libraries in /usr/local/lib and all other files in /usr/local/share/htcobol/, unless specified otherwise with the configure program.
If something went wrong and you don't know how to fix it, read through this document again. Make sure you have all the important stuff like GCC and the necessary libraries installed (you should be able to get these off whatever Linux-based Distribution CD you use). Next read the Tiny Cobol webpage at http://tiny-cobol.sourceforge.net.
Still haven't sorted it out? Go and join the tiny-cobol-users mailing list and ask the friendly people there. You can sign up at http://lists.sourceforge.net/mailman/listinfo/tiny-cobol-users or by sending an e-mail to tiny-cobol-users-request@lists.sourceforge.net with subscribe in the message's body. The address to post to is tiny-cobol-users@lists.sourceforge.net. You should also look through the archives incase your question has been asked before. They are at http://lists.sourceforge.net/archives/tiny-cobol-users/.
There is also a Brazilian language list at http://listas.cipsga.org.br/cgi-bin/mailman/listinfo/cobol-br and a Brazilian language webpage at http://br.tinycobol.org.