Well Dmitry I would say to you that if you would care to share some of the details of this process then I am sure you'll get some guidance on how to migrate this to SQL Server.
I am concerned by you saying that you'll move the result set to a FoxPro middle tier and then process it there. This is extremely inefficient, especially if you are then pulling in additional data and then writing things back to the SQL Server.
I would say that if this takes two minutes in FoxPro on 10,000 rows then it could take about a quarter of this or less if done in SQL Server directly.