Foxpro itself does not have a compiler or interpreter that will run on Linux. You can run the windows versions of Foxpro in Wine, and the DOS versions in dosemu; a number of people on the internet report that this works fairly well.
Another alternative is FlagShip, a commercial tool that translates the FoxPro code to C, and then compiles it. FlagShip was written to translate Clipper, but FoxPro is close enough that there is a way to make it work.
The first step is to install FlagShip normally, following the directions in the downloaded or purchased package. Here are my notes on doing that. Note that I used the Free Personal edition, but had to use Slackware 8.1 to get it to work, as the newest Debian and RedHat distributions gave linking errors (as of February of 2005).
Test that Flagship itself is working with a small clipper "hello world" program.
Once you have set up FlagShip correctly, the way to use it to compile FoxPro code is to use the "foxkit" module. (At this point I discovered the fxpro module, investigate that before continuing.)