If I understand correctly, you have

FUNCTION.PRG

PROCEDURE MYFUNCTION
DO SOMETHING
ENDPROC

Your command should be SET PROCEDURE TO FUNCTION.PRG not SET PROCEDURE TO FUNCTION.PRG_myfunction.

You do not have to make a FUNCTION.PRG with PROCEDURE MYFUNCTION in it. Do this instead.

MYFUNCTION.PRG
DO SOMETHING

Save MYFUNCTION.PRG and you won't ever need to say SET PROCEDURE TO again.