Do help do VFP9:

Disables the main Visual FoxPro menu bar during program execution. The OFF parameter must be run from a program (.prg) in order to take effect. For example, the following code when run from a program will disable the main Visual FoxPro menu bar. 

SET SYSMENU OFF
WAIT
 

Execute o comando acima em PRG, aqui testei e a barra sumiu.