>First question:
>How to 'stimulate' an application to make it process things in real time, as soon and frequently as it is required? Windows messaging? Remote created objects?

This is exactly what Microsoft Message Queue was built for. It is a server service that routes messages to remote machines and/or processes. Interaction with it is completely COM based, and you can create an object in VFP and tie a method to an event in the MSMQ client that fires when a message is received.

Check out http://msdn.microsoft.com/isapi/msdnlib.idc?theURL=/library/techart/msmqwvfp6.htm for an artcile on how to use MSMQ with Visual Foxpro.