I tried your code under VFP5 on Windows 95 and it works fine.

Two things come to mind to look for:

1) You are not in the right directory and you are opening up
another copy of "my.dbf" that does not have that tag in
the CDX file, if that copy even has a CDX file.
2) Are you running VFP3 under Windows NT? Windows NT
is case sensitive where Windows 3.1x is not. Upper, lower,
or mixed case notations could give you trouble depending
how you first entered it.

Other than those two fairly weak observations, I can't seem to
find an immediate problem with your straightforward code.