from foxHelp: Command Window (Visual FoxPro)
The contents of the Command window are saved to a file, _command.prg, automatically unless the noRecentDocHistory system policy is enabled or you are not using a FoxUser.dbf resource file.
 
 To enable its use by multiple instances of Visual FoxPro, the file is only read when starting Visual FoxPro,
 and written when exiting Visual FoxPro.
 The file is located in the same directory as the FoxUser resource file.
 
 You can determine or change the location of the resource file from the Options dialog box, File Locations tab, 
 or via language using SET("RESOURCE") or SET RESOURCE respectively.