If the set procedure failed it means your addressclass.prg is not found on vfp's search path.
See what the path is set to with
?set("path")

if your prg is not in the folders and not in the home folder vfp won't find it and you'll get the error you mentioned.

You can either add a path to the prg in the NewObject or set procedure or add your program's folder to the path with a set path to ... command.

Hope this helps

Andrew