>I've created a .exe
>
> When I click at the upper-right side X at the corner
> I appears the message:
>
> Cannot quit visual foxpro
>
> What do I have to do ?


You could get that message if you have open connections, open references to objects, etc.

Make sure you clean up (do garbage collection) by setting object references to NULL or use RELEASE. Also look at the following commands:
CLEAR ALL
RELEASE ALL
CLOSE ALL
ON SHUTDOWN