I'm currently trying to learn MDX so I know what you're feeling.
SPT = SQL Pass Through. It's one of the two mechanisms that VFP support for dealing with remote data sources. It's based around the SQLEXEC() function. With it, you can send any command(s) in the remote data source.
SQL-DMO = SQL Distributed Management Objects. This is an object model that can be used to programmically manipulate SQL Server. The Server Enterprise Manager (SEM) use DMO to do all of its work.
SQL Server BOL = SQL Server Books Online. The HTML help that is installed with the client management tools. You'll find that this is one of the best resources for SQL Server. Always check the BOL first. The answer is almost always there.
>Am I in over my head on this?
No. It's like any new technology. There's a learning curve. The good news is that SQL Server, like VFP, has a strong community that is willing to help. If you're not sure, post a question here in the SQL Server forum or one of Microsoft public newsgroups.
LOCAL cmd, c, r
cmd = 'CREATE DATABASE ' + databasename
c = SQLSTRINGCONNECT(connection_string_goes_here)
r = SQLEXEC(c, cmd)
If you're just getting into working with SQL Server from VFP, you might want to check out the book "Client/Server Applications with Visual Foxpro and SQL Server" from Hentzenwerke Publishing.
-Mike