With the following approach, by using CursorAdapter() as you suggested, I am able to achieve the same:

LOCAL loConnection,loCommand,loCursor
loConnection=CREATEOBJECT('ADODB.Connection')
loConnection.Open("Provider=VFPOLEDB.1;Data Source=d:\;Mode=ReadWrite;Password='';Collating Sequence=MACHINE")
loCommand=CREATEOBJECT('ADODB.Command')
loCursor=CREATEOBJECT('CursorAdapter')
loCursor.Alias='Temp'
loCursor.DataSourceType = 'ADO'
loCursor.DataSource = CREATEOBJECT('ADODB.RecordSet')
loCursor.SelectCmd='SELECT * FROM Event'
loCursor.DataSource.ActiveConnection=loConnection
loCommand.ActiveConnection=loConnection
loCursor.CursorFill(.F.,.F.,0,loCommand)
BROWSE

Thanks, I will update my Data Provider class to use this approach.