You have to register your VFP DLL on the server as a safe business object to allow the RDS.DataSpace object use it over http. Suppose your VFP COM DLL had a ProgID of MyProj.MyClass, then you would create a file called MyProj.reg and add the following:

REGEDIT4
[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\W3SVC\Parameters\ADCLaunch\MyProj.MyClass]


Then register this by clicking on this file in Windows File Explorer or in a DOS window executing START MyProj.reg

For a complete sample application that uses IE4/5 on the client with a VFP DLL on the server using the RDS.DataSpace object, download the ATSWeb sample (with source code) from http://msdn.microsoft.com/vfoxpro/downloads/ats_download.asp