Aman, it seems likely that performance for any databases will suffer if you're doing a select * across the wire.
If SQL server seems lightning fast, it may be because it is spooling records- iow your browse is displayed before it has loaded all the records. This is often seen if you are using the View Designer and testing your SQL- check the VFP statusbar and you'll see the records spooling in. Try a "go bottom" on the cursor and you'll see how long it really takes to load all the records.
If you tell us why you need a select *, people may be able to suggest ways to improve performance.
"... They ne'er cared for us
yet: suffer us to famish, and their store-houses
crammed with grain; make edicts for usury, to
support usurers; repeal daily any wholesome act
established against the rich, and provide more
piercing statutes daily, to chain up and restrain
the poor. If the wars eat us not up, they will; and
there's all the love they bear us."
-- Shakespeare: Coriolanus, Act 1, scene 1
