How about the following?

LOCAL nLevel, cCallingChain

nLevel = 1
cCallingChain = ""
DO WHILE NOT EMPTY (PROGRAM())
cCallingChain = cCallingChain + PROGRAM(nLevel) + "; "
nLevel = nLevel + 1
ENDDO
cCallingChain = LEFT (cCallingChain, LEN (cCallingChain) - 2)

In VFP6, you can use PROGRAM (-1) to get the depth of the calling chain, and avoid using the test for empty.