This is a nightmare!
I started a new test project in a different folder... did a CREATE PROJECT and then a CREATE FORM from the command window.
I added a main.prg which just contains DO form Mainform followed by READ EVENTS.
The form is top-level form, and modeless.
In the UNLOAD I put the CLEAR EVENTS.
I added a cmd button which just has the THISFORM.RELEASE in the click().
And that's it... It has NO OTHER objects on it.
I run it in development mode and it works.
I compile it, run the EXE and the same thing happens as before.
The program runs and after I click the exit cmd button it returns to the desktop and the cursor has the hourglass.
Task Manager shows that the EXE is still running.

I compile (and run) other programs in different folders without any problem at all.
I feel that there must be some setting in my properties somewhere.
I'm totally lost.
I wish there was a way I could send you the folder contents. There's actually nothing in it of any size.
Rich