On the AS/400, aka iSeries, aka IBM i[/b the native file system called QSYS.LIB doesn't have directories, but it has libraries and objects. If the objects are files, they contain members. So, COBOL sources are stored in the source file members. For example the copybook MYCPY could be stored in the source file QCBLLESRC placed in the library MYLIB, so the full path is MYLIB/QCBLLESRC(MYCPY).
Use the STRPDM command to browse libarries, files and members.
By default the ILE COBOL compiler searches for copybooks in the libraries from the user's library list (LIBL) in the source files QCBLLESRC, QCBLSRC and QLBLSRC. (I'm using for my programs the source file QCBLSRC and for my copybooks the source file QCBLLESRC).