>Basically, when we have a Foxpro application openned, we are unable to close the PC (by using shut down in the start menu, for example), and get the "Cannot quit Visual Foxpro" error message. Since this situation does not occur when running other applications, we are wondering if there is a way to avoid it.

Use ON SHUTDOWN to clean everything up. ON SHUTDOWN is what fires when the "X" is clicked in the title bar, so its also what Windows would use to close VFP.