>>Hey GT,
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>>But you can "two-step boogie" if you have to can't you? You can wrapper the DLL in a VB component that raises events as appropriate and then use VFPCOM to bind a VFP app to these events. Also, maybe, there are things going on in that VB code that may be unnecessary to what Eylon is trying to do? I think the answer to the original question requires more information about the DLL and how it operates.
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>>>Simply put the answer is you can't do this in VFP. On the most basic level the reason is that there's no way to pass the address of the callback function (as you can do with VB via the AddressOf operator). Further, VFP's handling of messages is decidedly non standard. Sorry.
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>So, now you are preempint my next question. Can I "reach out" to the VB app from VFP? And, forgive my ignorance - what is VFPCOM and how do I use it?

You can download it at:

http://msdn.microsoft.com/downloads/default.asp?URL=/code/sample.asp?url=/MSDN-FILES/027/000/139/msdncompositedoc.xml

If you do a search of the MS devlopers site, you should get better information than I can give you, since I've no experience with it as of yet.

>The dll has a bunch of functions that read trading data from our SE and transmits it to various (software) clients PB etc. we have an app in VFP that currently reads data through DDE which is very slow - so we want to upgrade it to this.

Without knowing all the requirements it's a bit difficult. The short, quick answer is that you can create an automation server (COM Object) to do this from either the VFP or VB side. FWIW, I'm working on a project now that being utilized in PB, and can be used by VFP, VB as well.