Thanks, I found it. Since I spent some time looking for it. I am posting
the code here again for anybody that may care. I guess this error can be treated just like any other VFP error, so an ON ERROR is all I needed.


WITH ThisForm
* Set the report name
.oleCrystal.ReportFileName = "MyReport.RPT"
* Set the destination
.oleCrystal.Destination = 1
* Set the window title
.oleCrystal.WindowTitle = "My Report"
* Cancel the error handler to avoid a bug in Crystal Reports ActiveX control.
* This bug causes and OLE error when the user cancels the report
lcOnError = ON("ERROR")
ON ERROR *

* Activate Crystal Reports
.oleCrystal.Action = 1

* Reset the error handler
ON ERROR &lcOnError.