>I noticed today that whenever I am opening VFP 9 I see a message briefly (while VFP 9 is loading): "downloading from about:blank". What is it all about? Is it some kind of MSFT spyware inside VFP?

WHen internet explorer loads by default there's no document loaded in the browser. So if you have an application that needs to create a document or manipulate the document object you NEED TO HAVE A DOCUMENT of some sort.

about:blank is a base page you can use to start with.

It's commonly used if you program IE to load a blank page so that an application has a document to work with.