the problem that when VFP refresh the grid, this.Value is grid.Value.

use a litteral date:

* VFP is incomplete, it have not a DTOC(date,strinctFormat) !!!!!!!!!!!!!!!!!!!!!!!!
SELECT Cmessage
x = '^'+STUFF(STUFF(DTOS(This.Value),7,0,'/'),5,0,'/')
SET FILTER TO Date = {&x}

Fabio