Hi,
thank you to all of you, who responded.
The solution (at least for me) is found.
This is, what worked for me:

First of all, you have to set the codepage of your .DBF-Table to 1251.
Second, you go to (what is the name in English??) START - SETTINGS - SYSTEM SETTINGS and than pick "Regional Settings / Language Settings" where you set the STANDARD to "Russian".
But... this is not enough!
Third, it is necessary to also click on the third page of this tool "Erweitert" (maybe MORE? in English). There it tells you something about UNICODE, that some programs (incl. VFP) do not support. ALSO here you have to set the dropdown menue to RUSSIAN.

When you click on OK, your system wants to reboot.
If you do this the first time, it might ask you for your WINDOWS SYSTEM CD, as some drivers have to be loaded.

After this... everything worked perfectly fine for me.
NO OTHER FONT was necessary.
CTRL-C and CTRL-V works the same as _cliptext.

No I am happy...