Sorry for being confusing:
(when running the EXE you really are still "in" VFP; in the VFP-runtime instead of the VFP-IDE)
READ EVENTS is the command that tells the VFP-runtime to enter the "event loop" that waits for input from the mouse and keyboard, and executes menu commands, etc, in response to that input.
In the IDE, the READ EVENTS event loop is not needed because the Command prompt is already an event loop. That is, the VFP-IDE doesn't exit when no program is running.
So, in your main program .PRG, after all the initialization code (which creates the menues, and perhaps displays in introductory window), you should add the command READ EVENTS.
When your .exe is run, VFP will "stop" on that statement and wait for (and respond to) user input. When you want your application to quit, issue the command "CLEAR EVENTS". Execution will resume with the statement after "READ EVENTS"
(alternatively, you can just issue "QUIT" which will exit VFP immediately)
If you don't have a main .PRG file, you could put the READ EVENTS into your main form's "Init" event code, at the end. I don't like this approach.