You do a few mistakes here. Delete all will NOT remove the records! Instead of using a table, create a cursor every time. Something like this:

Create cursor yourcursor 
* Or if you have a table with the correct strucure: Select * from yourmastertable where .f. into cursor yourcursor readwrite
append FROM (txtPathName)  type SDF for !yourfield=headervalue

>SET DELETED ON
>
>txtPathName = "DADOS\ECT\" + "ECT" + CHRTRAN(DTOC(DATE()),"/","") + ".TXT"
>= MESSAGEBOX (txtPathName)
>SET SAFETY OFF
>COPY FILE (anxFullPth) TO (txtPathName)
>SELECT pgreembolso3
>DELETE ALL
>append FROM (txtPathName) type SDF && till here records are appended OK
>set safe on
>SELECT pgreembolso3
>
>Now I need to delete the first record , because its the header
>
>BROW
>GOTO 1
>DELETE
> PACK
>BROW ---- first record still there