the history gets stored in _command.prg which in my case is stored in: C:\Documents and Settings\Frank\Application Data\Microsoft\Visual FoxPro 9

from the help file under Command Window:

The contents of the Command window are saved to a file, _command.prg, automatically unless the noRecentDocHistory system policy is enabled or you are not using a FoxUser resource file. You can clear the window by selecting Clear from the Command Window shortcut menu. To enable its use by multiple instances of Visual FoxPro, the file is only read when starting Visual FoxPro, and written when exiting Visual FoxPro. The file is located in the same directory as the FoxUser resource file. You can determine or change the location of the resource file from the Options dialog box, File Locations tab, or via language using SET("RESOURCE") or SET RESOURCE respectively.

>It seems every time I start VFP, there is a different set of history in the command window. It may be missing the last session's history, or it will be something from long ago. I want it to be the same history, all the time.