i mean cobol.exe stand for cobol load lib
Terminology is critical in IT, where similar terms may mean very different things. If you mean COBOL load library, say "COBOL load library" -- not cobol.exe, not cobol load lib -- "COBOL load library". And note that COBOL, as an acronym, is capitalized in English.
You can use TSO / ISPF editor to create COBOL source code. You can use, if you site has it, an IDE (such as IBM's Rational Developer for System z) to write COBOL source code. There are IDE for mainframe as well as for PC (that can upload the code to the mainframe when needed). You could even create a COBOL program in Notepad on Windows, save it as a text file, and upload it from the PC to the mainframe.
Bottom line: pretty much any text editor can be used to create COBOL source code, as long as it can be transferred to the mainframe for compiling. CICS programs can be written in COBOL, PL/I, Assembler, or even C -- so all of the above applies to CICS programs as well.