David,
AFAIK, there is no documentation about specifically what happens inside the VFP BaseClass event methods. Frankly, there aren't that many that do anything observable at all, and those that do something are 99.99% correct in what they do and when they do it.
If you have some specific issues about getting something to work this is the best place to get an answer. The FoxForum.com Wiki would be the best place to "assemble" knowledge on the topic.
>Is there anything out there that fills all the holes? I have heard that MS produces additional documentation that is not in the MSDN...but of course costs a few bucks. Do you know if this is true and how to obtain these materials?