>vfp7 or vfp9

VFP 9:
add a property in the form, named bStopLoop
In your big loop put:

thisform.bStopLoop = .f.
SCAN
  ...........

  DOEVENTS
  IF thisform.bStopLoop
     EXIT
  ENDIF
ENDSCAN

In your stop button Click EVent put:

thisform.bStopLoop = .t.

I am not sure iuf this will works in VFP7 becuase I don't know if VFP7 has DOEVENTS command (never worked with that version).