Here is, IMHO, the easiest way to use cob2fs2.exe.
1. Make a shortcut to the program.
2. Bring up the shortcut's properties and in the "Start in" box put the full path of where you want the model to go. (I use C:\Windows\Desktop)
3. Drop that shortcut into: C:\Windows\SendTo
4. To convert a file using it, right click the file, chose "Send To" and Cob2FS2.
You'll get a test.pof sitting in whatever folder you told it to use. Trying to drop files onto it you can get pof files scattered all over. (I recall finding one in C:\) If the file doesn't appear, then you want to bring up a DOS Prompt (Command Prompt in XP) and try converting it there so you can see what it's spewing out about why it won't convert. Remember to rename the test.pof file before converting your next model!