for a simple embedded SQL query in Cobol like this:
Depending on parameter given, if parameter = 1, I need to run this query:
select * from file1
if the parameter = 2, i need to run this query:
select * from file2

the name of the "file" is fixed but the number depends on the parameter. How can I achieve it? I can't use the colon sign like we do it for conditions, at the table selection level.

You must build your SQL statement in a string and process it as dynamic SQL, i.e. prepare the statement, possibly describe it, ...

May I know what's the command line to use in a cobol programme to execute a SQL statement? I'm running on AS400 now.

My problem is, the query is actually part of the cursor which is embedded into my Cobol programme.

input parameter : eg. var1 keeping value '1'
you could do :
var2='file'||var1 or concatenate string with variable
or with conditional create var2
if var1 =1 then
var2=...
end
var3='select * from '||var2
exec sql prepare xxx from var3
exec sql declare ci1 cursor for xxx
exec sql open cursor C1