>My MSDN Download has a ReadMe.HTM which says,
>
>1.2.2. Installing Additional Applications
>Visual FoxPro includes copies of additional software that you can install and use with Visual FoxPro. These include:
>
>InstallShield Express Limited Edition ?makes it possible to package and deploy the applications you create using Visual FoxPro
>Microsoft SQL Server 2000 Desktop Engine (MSDE) ?provides a personal version of SQL Server
>Microsoft SOAP Toolkit 2.0 ?makes it possible to consume and publish Web Services in Visual FoxPro
>Microsoft Developer Network (MSDN) Library ?provides a wealth of developer information
>To install InstallShield Express
>
>Insert the Visual FoxPro CD, and the VFPStart page opens automatically. From this page, you can install the components that are included with Visual FoxPro.
>Select the Install InstallShield Express link on the VFPStart page. This opens the InstallShield Express Installation wizard.
>Follow the instructions in the Installation wizard.
>The Setup.exe file for InstallShield also can be located in the InstallShield folder on the Visual FoxPro CD.

Thanks to both Cindy and Mr Cheang!
KM