An increasing interest in making sensors based on fiber Bragg gratings (FBGs) written in polymer optical fibers (POFs) has been seen recently. Mostly microstructured POFs (mPOFs) have been chosen for this purpose because they are easier to fabricate compared, for example, to step index fibers and because they allow to tune the guiding parameters by modifying the microstructure. Now a days the only technique used to write gratings in such fibers is the phase mask technique with UV light illumination. Despite the good results that have been obtained, a limited flexibility on the grating design and the very long times required for the writing of FBGs raise some questions about the possibility of exporting POF FBGs and the sensors based on them from the laboratory bench to the mass production market. The possibility of arbitrary design of fiber Bragg gratings and the very short time required to write the gratings make the point-by-point grating writing technique very interesting and would appear to be able to fill this technological gap. On the other end this technique is hardly applicable for microstructured fibers because of the writing beam being scattered by the air-holes. We report on the design and realization of a microstructured polymer optical fiber made of PMMA for direct writing of FBGs. The fiber was designed specifically to avoid obstruction of the writing beam by air-holes. The realized fiber has been used to point-by-point write a 5 mm long fourth order FBG with a Bragg wavelength of 1518 nm. The grating was inspected under Differential Interferometric Contrast microscope and the reflection spectrum was measured. This is, to the best of our knowledge, the first FBGs written into a mPOF with the point-by-point technique and also the fastest ever written into a polymer optical fiber, with less than 2.5 seconds needed.