In Shelxpro, use option [M] and follow the instructions:

For a 2F_o-F_c map, it is actually better to make a Sigma-A type map.  For this, you will be asked to supply the reference/working set Sigma-A ratio which appears at the end of the .out file.
 

I've had difficulty generating maps on the Alphas and having O read them, so you are advised to run Shelxpro on an SGI when making map files.