You have to do it in the ACTIVATE method with code like this:

WITH THISFORM
.oToolbar = CREATEOBJECT('SDIToolbar', THISFORM)
.oToolbar.DOCK(0,1,0)
.oToolbar.SHOW()
ENDWITH

Passing THISFORM gives you an object reference to the form the toolbar is on so you can talk to objects or call methods.

Charlie