You have to activate arma2 as a mod to play CO. Start OA, in main menu navigate to expansions and check arma2 is listed there. You can select it and upon restart you would be playing Arma2: CO. Check the picture below.
If it is not listed then you don't have Arma2.
To play Arma2 you must start with the Arma2 launcher, not the OA one.