Could you please help me how to use MS Coolbar Control and other Toolbars in VFP applications

If you have the January 1999 issue of FoxPro Advisor, Andrew Ross MacNeill had this article in it that could help you:

ACTIVEX CONTROL SHOWCASE

What Is "Cool" Anyway?
Several controls are available to provide the coolbar look to your applications.

Microsoft's latest applications use "coolbars", providing a common mechansim for both menus and toolbars. Learn how you can add this functionality to your applications.