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Is it possible to embed Python in a VC++/MFC application. If yes, can you please tell me how to do that.

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Yes, you can embed python in any application where you can call functions from a C library. The fact that you are using MFC is not really important for this.

The official python documentation for this is pretty good:

On how to do that: basically you simply call Py_Initialize(); to initialize Python and then do whatever you want to do with it. Before your application exits it's a good idea to call Py_Finalize(); to clean up things.

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