What will be the fastes way to populate a grid with specific records?

I try select sql, set filter to , set key to.

The best one is "set key to". It's inmediatelly. The problem is that if i sort my grid columns Ascending,Descending and need to show records for an specific customer, when I change the index i loose the recordset and show all the records in the table.

Any sugestions? I have a 100000 records table and need to show aprox 2000 in the grid. Also wants that the columns are sortable.