>>>There is nothing to improve on the query.
>>>You need to think on how to avoid having to download the whole table and only get those when you need them.
>>
>>Walter is absolutely correct. Also, if you don't need all columns, you can just select specific columns - that may help if the table is too wide.
>
>Typically my application does need almost all columns. There could be one or two deprecated columns. And I thought that - maybe - if I change the list of columns with "select * from " in the property of the CA, the time it takes to pull the data will be reduced. But maybe it will be reduced by 1-2 seconds. And the customer is complaining of 30-40 seconds. So, for now, I will leave out this approach until I learn more.

Run SQL Server Profiler and check what query your CA run.
Copy and paste that in SSMS and execute it with Actual Execution plan turned on.
Then check what Execution plan told you :-)