I index cursors all the time so this surprises me today. The error message states: "File must be opened exclusively".
I even set exclusive on, recreated the cursor and then tried the indexing again, but received the same error message.
Here's the simple SQL statement and INDEXing command:
SELECT * ;
FROM GRPEXTCV ;
INTO CURSOR tmpGRPEXTCV
SELECT tmpGRPEXTCV
INDEX ON GrpID+GrpNum+PlanKey TAG FULL_KEY