I'm pretty sure that the optimizer is using the index. Mark's original message said that STATISTICS IO was returning 23 IOs and in the next message to me he said that DBCC SHOWCONTIG has a Scan Density of 99.98%. It's just a lot of data to be pulling across the wire.
Now, as far as VFP goes. I wondering if VFP solved the query by putting a filter across the table. In that case, you'd get incredible performance from VFP. I've asked Mark to run the same query using the NOFILTER clause and force VFP to pull the data across the wire.
-Mike