Normally it will go to the default printer if 'MY PRINTER' is not found.
What kind of operating system? Mysekf I had problem with Server2003 and XP Pro workstation.

Try this:
LOCAL ARRAY laPrinter[1]
llPrinter = .F.
lnPrinter = APRINTERS(laPrinter)
lcPrinterName = ""
FOR i = 1 TO lnPrinter
IF AT( "My PRINTER NAME", ALLTRIM(laPrinter[i,1])) > 0
lcPrinterName = ALLTRIM(laPrinter[i,1])
llPrinter = .T.
EXIT
ENDIF
ENDFOR
IF llPrinter
SET PRINTER TO NAME (lcPrinterName)
ENDIF