>select * from cities where city='HOUSTON' in VFP produces 4 records
>
>city Houston, HOUSTON, HOUSTON HEIGHTS , HOUSTON AIRPORT. Which is right

It's neither right nor wrong but thats the way string are compared in a query when SET ANSI is OFF (default). You can find more details in the help for SET ANSI command

>select * from cities where city='HOUSTON' in MS SQL 2000 produces 2 records
>
>city Houston, HOUSTON
>
>Naturally I can set exact on in VFP,
>but I would prefer to know how to say "city Starts with HOUSTON" in SQL

The SET EXACT has no effect on SQL commands. You can use LIKE operator in SQL Server and VFP

select * 
  from cities 
where city LIKE 'HOUSTON%'