>Where can I find information on the Internet Explorer Application object?

It's thoroughly documented in MSDN. Search on WebBrowser.

> What kinds of information can I get using it?

Anything you can find with a browser.

>Would I be better served trying another route like the DBi's ctHTML control or something from Microsoft?

It depends on what you are trying to fetch. If you need the HTML rendered, and you want to parse it using an object model, then automating the browser is the way to go. If you need to fetch raw HTML or some other content, you'll want to use a lower level retreival method.

>I think VB uses MSHTML.DLL but I don't know how to put it into FoxPro.

You can add it by adding it to your ActiveX controls list manually in VFP options.