The order is listed in the FUNCTION Command (http://msdn.microsoft.com/en-us/library/10cc6ya9%28VS.80%29.aspx) and PROCEDURE Command help topics under the remarks section:

When you issue the DO command with a function name, Visual FoxPro searches for the function in the following order:
1.    The file containing the DO command.
2.    Procedure files opened with SET PROCEDURE.
    For more information, see SET PROCEDURE Command.
3.    Program files in the execution chain.
    Visual FoxPro searches program files in order from the most recently executed program to the first program executed.
4.    A standalone program file.

If a matching program file is found, Visual FoxPro executes the program. Otherwise, Visual FoxPro generates an error message.

To execute a function in a specific file, include the IN clause in the DO command.