How do I load a File created in Cobol into UDB on windows/solaris?

You load using ASC for the "OF filetype" parm and METHOD L which is used to specify the start and end column numbers from which to load data. See the command reference for more information.

Here is a partial example from the manual:

db2 load from ascfile1 of asc modified by striptblanks reclen=40
method L (1 20, 21 22, 24 27, 28 31)
insert into table1 (col1, col5, col2, col3)

Would the Binary fields(SMALLINT & Others) be taken care

Is the COBOL created asci file from the mainframe or from Unix/Linux/Windows?

from Mainframe

I believe that you have to download the file as binary, and then specify the code page (codepage=x). See Table 7. Valid File Type Modifiers in the Command Reference under LOAD utility. You might also need to specify binarynumerics, packeddecimal, zoneddecimal, etc, as one of the modifiers. See the manual.

If you can export the mainframe table as IXF format, you can load it in IXF format a bit easier than above.

Mainframe COBOL files(CF) have(had) block control, record control characters; packed decimal and binary fields; records spanning blocks etc. You canNOT use such a file in UDB.
You can try a utility to convert CFs to CSV(comma or tab delimited) format; or write a program to convert everthing to DISPLAY format; then DISPLAY UPON PRINTER command to write to a SPOOL file. I think you can have a PRINT line greater than the standard 132 characters. You can FTP such a spool file and use it as input to load on udb