I'm using VFP7 SP1

I created a little one line prg that I want to run from Windows 98, but everytime I try to run it I get and error "File 'Program.prg' does not exist" and I'm in the command window.
In Windows 98 Explore I right mouse click the file and say Run, and get the error.
If I just OPEN (instead of RUN) the file then run it after VFP opens, it runs fine.

I don't have a Config.fpw
I've checked the Options/file locations and cannot find anything pointing at a "program.prg".
Where else can I look?

TIA