Zaheed,
You have to install VFP runtimes (thats why they are called runtimes because needed when EXE is ran). Difference between .NET is that .NET "runtimes" are installed by MS / Windows Update but VFP runtimes sre installed by you or your installation software. If you are using anykind of installation software f.ex. Installshield which is included with VFP, installation of runtimes are totally transparent to the user.
Using InstallShield is shown very well in What's New in Visual FoxPro 7.0 by Hentzenwerke Publisihing
http://www.hentzenwerke.com/catalog/newin7.htmAT