The first thing you need to do is to make sure FoxPro creates the cursor as a disk file rather than just a filter on your existing table. You can do this by adding a dummy field like this:

SELECT *, ' ' AS Dummy ;
  FROM mytable ;
  WHERE mycondition ;
  INTO CURSOR mycursor

You don't need to do this when your SELECT involves a join, because a join also forces FoxPro to create a disk file. To make mycursor writeable do this:

USE DBF('mycursor') AGAIN IN 0 ALIAS mycursor2

mycursor2 is now writeable.

In VFP 5.0 you can put the NOFILTER keyword after the name of your cursor to tell VFP that you want it to create a file.