>>>I want to end the script at some point so the code after it does not run. I would just use CANCEL or RETURN in Forpro.
>>
>>Put GO statement to separate scripts from one another. It doesn't stop it, though, so you can use RETURN command.
>
>If GO doesn't stop the script, what does it do?

It separates several scripts one from another. Say, you need to use GO after USE command or after CREATE PROCEDURE command, etc.