I believe I may have found the culprit. I am using WINDOWS 2000 SP2 on an IBM ThinkPad A20P.

These are the steps:

1. I shutdown my system and restarted it.
2. Open VFP7.
3. Open my project.
4. BUILD EXE and it worked fine
5. Closed the Project and it did not delete the file.
6. Repeated steps 3 - 5 above. No problem.
7. Ran EXE from the Command Window
8. Closed Application.
9. Opened the project again.
10. Did a BUILD EXE again.
11. I got an error message to pop up with the following caption: "PROGRAM ERROR"
Error Message: File 'ERRORHAND.PRG' does not exist.
So I hit Ignore and my BUILD stopped.

12. I entered "ON ERROR" from the Command Window to clear the ON ERROR routine which was ON ERROR DO ERRORHAND WITH ERROR(), MESSAGE(), MESSAGE(1), PROGRAM(), LINENO()

13. I then hit BUILD EXE again. This time it went all the way through the build and and it created the EXE.
14. Then I closed the project.
15. Then the project's .PJX file disappeared right when I closed the project.
16. I copied a backup of my project back to my main folder.
17. I opened the project again and did a BUILD EXE and closed the project and PRESTO the PJX file disappeared again.
18. Then I closed VFP7 and did steps 3 and 4 again with no problem.
19. Typed in ON ERROR DO ERRORHAND WITH PROGRAM() in the Command Window.
20. Repeated steps 3 and 4 again. No problem.
21. Repeated steps 7 - 10 which resulted in steps 11 - 15 again.
22. I shutdown VFP7 and started it up again and immediately ran my application.
23. I then closed the application and typed in "ON ERROR" in the Command Window.
24. I opened my Project file again and did a BUILD EXE.
25. This time I got an error again but it now had:
"File 'C:\VFP7\FOLDER\MYPROJECT.APP' does not exist."

It looks like the APP file could not get created on the subsequent build after the application was ran. Therefore it could not create the EXE file. But it doesn't have to DELETE my Project file because of that does it?

26. Now I decided to just run the application and then do all of the BUILD EXE from the command line.
27. I ran the application and closed it and typed in ON ERROR in the Command Window.
28. I did a BUILD EXE MyProject FROM MyProject. I got the same Error of:
"File 'C:\VFP7\FOLDER\MYPROJECT.APP' does not exist."
29. I typed in BUILD EXE MyProject FROM MyProject again and it compiled to an EXE.
30. I went to open the project and the MyProject.PJX file was missing again.

HELP?!