Ah, now I have it :-)
Actually, it was not any missing dll or a wrong version, but a false entry in the HKEY_CLASSES_ROOT registry, produced by VFP6r.reg:
Once I tried to execute VFP6r.reg with an Install Shield Program (hoped to get the right entries), and it wrote a line like this into the registry:
VisualFoxProRuntime.6
It must be like: VisualFoxpro.Runtime.6 , therefore it produced this message cannot locate ...
I deledted this line, and finally the message is gone, everything is working correctly!
Thanks for your help!