It sounds like VFP creates in-memory cursor w/o physical presence on the disk. The APPEND FROM command requires the physical presence on the disk.
You can replace your code with simpler INSERT INTO SELECT FROM

INSERT INTO MyCursor1 SELECT [blah blah blah]

>I am having a problem doing an APPEND FROM from an SQL cursor. The code looks like this:
>
>SELECT [blah blah blah] INTO CURSOR MyCursor2 NOFILTER
>SELECT MyCursor1 && this is an SQL cursor, not a table
>APPEND FROM DBF("MyCursor2")
>
>This failed with the message "File '[fullpath file name].tmp' does not exist".
>This happens even though I looked in the DataSession window and found the cursor (MyCursor2).
>
>This code also fails: APPEND FROM DBF(ALIAS("MyCursor2"))
>
>However, very strangely, if I execute the code "Select MyCursor2", it works!
>Any ideas?
>
>BTW, the SQL Select that created MyCursor2 includes a GROUP BY clause.
>
>I have a workaround: I select the cursor MyCursor2, scan through it, and copy it row by row into MyCursor1. This works, but I would like to use the APPEND FROM if possible.
>
>It's very perplexing. Thanks for any help.