Hi Fernando!

>Procedure Teste
>
> Set SysMenu  Save
> Set SysMenu  To
>
> With _Screen
>
>     .Caption     = " This is a Test Program"
>     .BorderStyle =  2
>     .AutoCenter  = .T.
>     .WindowState =  2
>
> EndWith
>
> Application.Visible  = .T.
>
> Messagebox ("Enter 'ok' to end program")
>
> Quit
>
> EndProc

Where do you call the procedure Teste ?
I put your sample in one PRG without "Procedure Teste" and "EndProc" and worked fine.
Try again without "Procedure Teste" and Good Luck!... Or God help us! ;-D
Bye!