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>And the project would be built and includes the prg file that I was trying to add? Should a path be given?

If PRG isn't on the VFP path than you've to provide it's full name, including path.

>Not sure Sergey. This code is part of an update program, which builds and updated exe file which can be shipped to the user. This code was written by another person, some years ago. What is your suggestion?

Use the one that suits you best. I prefer to create a project once and use it to access it's components. It's seems to overkill to recreate it every time you've to build EXE or APP.