The theory of integration to mathematical analysis is important that many mathematicians continue to develop new theory to enlarge the class of integrable functions and simplify the Lebesgue theory integration. In this paper, by slight modifying the definition of the Henstock integral which was introduced by Jaroslav Kurzweil and Ralph Henstock, wepresent a new definition of integral on fraetal sets. Furthermore, its integrability has been discussed, and the relationship between differentiation and integral is established. As an example, the integral of Cantor function on Cantor set is calculated.