Tore has already pointed you to my blog which contains a more detailed answer of how to fix this and another issue with VFP MY, however here is the short answer...

Execute the following in your command window:

SET PATH TO [C:\PROGRAM FILES\MICROSOFT VISUAL FOXPRO 9\SEDNA OCTOBER CTP\MY\] ADDITIVE
SET ANSI OFF

>I installed sedna october
>It seemed to do it's thing
>it istalled my.vcx in this folder by default:
>
>C:\Program Files\Microsoft Visual FoxPro 9\Sedna October CTP\My\
>
>i ran my.app as told by the readme file
>
>

>LOCAL My AS My
>My = NEWOBJECT('My', 'C:\Program Files\Microsoft Visual FoxPro 9\Sedna October CTP\My\my.vcx')
>

>
>this fails claiming it cannot find my.vcx (in my current directory). Sure it cant it ain't there, dummy.
>
>the second para of newobject points to the correct place.
>what am I doing wrong here?
>
>next the help file of my is very strange. it seems to be linked to the browser and any lins on a page fail.
>
>I understand this is stil a beta product, but the documntation should work.
>
>Peter