James,

>How do I change the caption at the top of the screen from Microsoft Visual FoxPro to what ever I want.

additionally to what Frederico said, you can change the _SCREEN's caption at startup of your EXE with an entry in the config.fpw file:

TITLE=My Screen Caption

This ensures, that the app doesn't come up with "Microsoft ...." and then changes to your own caption shortly afterwards. It will show up immediately with the specified caption.

HTH,
Armin