As I understand, the SendNotifyMessage is sent to FoxPro window, or HWND_BROADCAST is used -- anyway you must be sure that your FoxPro window every time receives that message.
In VFP3..8 you have to write external module to hook the window procedure of your FoxPro form (VB, Delphi, C++). There must be some ready modules in the download section.
I heard that VFP9 has or will have some native ways to write program code responding to window messages received by FoxPro form.