>Use a linked server based on ADO. Then all is easier using OpenQuery (and it automatically drops deleted ones - in fact with this approach you have problems if you also want the deleted records).
>

>EXEC sp_addlinkedserver
>    @server = N'VFP_SERVER',  -- Your linked server name here
>    @srvproduct=N'Visual FoxPro 9',  -- can be anything
>    @provider=N'VFPOLEDB',
>    @datasrc=N'"C:\PROGRAM FILES\MICROSOFT VISUAL FOXPRO 9\Samples\data\testdata.dbc"'
>
>
>insert mySQLTable (orderId, orderDate,shippedTo)
>Select * From openquery(VFP_SERVER,
>'Select
>  order_ID,
>  Cast(Evl(order_date,Null) As DateTime) As order_Date,
>  TRIM(to_Name)
>  from customer')
>

What should I put in the @server line as the linked server? Where does that name come from?