It's not necessary to SET PROCEDURE TO if the procedure is in the same PRG as the place where you're trying to call it. I'd look really carefully for a typo in either the place where you call the procedure or where you define it.

>I have in the same PRG file the declaration of two procedure, and at the top
>the call of one of that procedure. But I get the error message "File MyProcedure1.prg does not exist". I tried to add before the DO command a SET PROCEDURE TO but nothing works.
>
>DO MyProcedure1
>
>PROCEDURE MyProcedure1
>...
>...
>ENDPROC
>
>PROCEDURE MyProcedure2
>...
>...
>ENDPROC