I want to connect from a COBOL/VMS system to an SQL Server 2005 instance. Could someone point me to a driver that works well?
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This is similar to another question on SO. Though not specific to VMS, many of the options presented there would work with VMS/ODBC.
You may also want to look at FreeTDS (I've used it many times but never from VMS) if you are looking for an open source implementation you can customize. Otherwise, the supported/commercial vendors that have products that would work include Attunity, DataDirect, EasySoft, and CONNX.
We currently do this from Pascal on VMS by calling a C procedure which in turns calls a Java class via JNI. The Java class uses JDBC to access the SQL Server database. There is no reason a similar thing couldn't be done from COBOL.
If you didn't want to do the JNI stuff, you could write a socket server in Java which accepted messages sent from the COBOL program and then did the update across to the SQL server database.
You can have native connectivity to VMS files through Attunity Connect