>The problem is that I DO NOT create the local cursor by selecting data from SQL server data.

Then you are stuck for creating the string and pass it to SQL Server:

lcKeys = []
SELECT LocalCursor
SCAN
   lcKeys = lcKeys + TRANSFORM(KeyField)+[,]
ENDSCAN
TEXT TO lcSQL NOSHOW TEXTMERGE
     SELECT * FROM YourTable WHERE SomeField IN (<<LEFT(lcKeys,LEN(lcKeys)-1))>>
ENDTEXT
IF SQLEXEC(sqlHandler, lcSQL, "NewVFPCursor") < 0
   AERROR(laError)
   MessageBox(laError[1,2])
ENDIF