VFP screen does not allow to add ActiveX controls.
However you can deceive it by placing ActiveX control inside a container:

_Screen.AddObject("ScreenBrowser", "ScreenBrowser")
_Screen.ScreenBrowser.Visible = .T.
_Screen.ScreenBrowser.SetFocus()
_Screen.ScreenBrowser.Browser.Navigate("www.levelextreme.com")

DEFINE CLASS ScreenBrowser AS Container
  BorderWidth = 0
  
  ADD OBJECT Browser AS OLECONTROL
  
  PROCEDURE Init
    BINDEVENT(_Screen, "Resize", This, "scr_Resize")
    This.scr_Resize()
  ENDPROC 
  
  PROCEDURE scr_Resize
    This.Move(0, 0, _Screen.Width, _Screen.Height)
    This.Browser.Move(0, 0, _Screen.Width, _Screen.Height)
  ENDPROC 
ENDDEFINE 

This example will ask you to choose OLE class - select explorer control. To avoid this define ScreenBrowser class in visual class library.