oFM = CREATEOBJECT( 'form' )
oFM.AddObject( 'oGd', 'grid' )
oFM.oGd.HeaderHeight = 0
oFM.oGd.Visible = .T.
oFM.Show(1)

This snippet worked on my machine: OS = XP Pro w/SP2. VFP70 w/SP1. Try it on yours. If it works, then you probably have a property setting or some subsequent code that you're fighting. If it doesn't work, then I'd suggest a configuration issue with VFP.

Hope This Helps

Ken