>>SET EXACT ON (or OFF)
>
>SET EXACT is OFF
>
>I really can't understand why this is not working.

From the Help:

Character expressions are compared character for character from left to right until one of the expressions isn't equal to the other, or until the end of the expression on the right side of the = operator is reached (SET EXACT OFF)
Therefore, in you sample it is comparing the first characters and the result is "M" = "M" and then the comparison ends.

The expression 'M'<'MICHEL' will be .T. whether SET EXACT is ON or OFF