Borislav,
Drop the OF ... in your index commands. Using this causes the resulting indexes to be "non-structural" and this is what is causing the errors. A structural index has the same name as the DBF file that it indexes. You are using the "alias" name of the cursors and these are NOT the same as the dbf file names. Dropping the OF syntax will cause VFP to create structural indexes.
To see what I mean try this;
SELECT NuNch
?DBF()
