Couple of months ago I had this same problem (and lost some sleep over it). In my case this happened when I called the report from a shortcut-menu, otherwise it worked OK. To me it looks like a bug in VFP.
One of the UT-members has written an article about this, unfortunately I now cannot remember her name.
The workaround I now use is bringing up an extra form with a button to start the report...

Groeten van Jan