That site has a nice slightly-interactive map where you can pick out individual components of their "freedom index". Mostly they correlate with prosperity (I have no idea what the actual causal relationships are) ... until you click on "Government Spending" and suddenly it goes exactly the other way round -- the allegedly-worst government spending figures are for the US, Canada and Western Europe, and the allegedly-best are for severely messed up central African countries and China (!) and India.

If they stopped counting government spending as opposed to freedom -- it seems to me only marginally a matter of freedom -- the correlation between "freedom" and prosperity would become even more impressive.

(Note 1. The cynic in me says: Of course that's out of the question because a central part of the reason why the Heritage Foundation exists is to argue for lower government spending and hence lower taxes. If it advocated less forcefully for that, it would become less useful to those who fund it.)

(Note 2. It seems like there are lots of other things that could go into a "freedom index" with about as much reason as government spending. Two examples: longer working hours mean less freedom to do as you please with your time; stronger IP law means less freedom to start a technology-based business, to do as you please with the books and music and software you own, etc. Again, the absence of these things from the Heritage Foundation's "freedom index" seems adequately explained by the interests of the organizations that provide its funding.)