Are you returning to a READ EVENTS, or some kind of wait state? If your form is modal, it has its own built in wait state and can run if you don't return .F., but if you return .F. your program continues execution until either a wait state or the last executable line, at which point it will quit.

The standard Main.PRG looks like this:

*Setup commands...
DO MyMenu.MPR
READ EVENTS
*Shutdown commands...

Each menu choice calls a form, modal or modeless. The "Exit" menu choice calls the command CLEAR EVENTS, which skips past the READ EVENTS and completes program execution.