There're a few files in the download section that can do it:
ADOGetRows.jcRStoCursor (ADO-VFP cursor) File #9916
OLE DB Library for Visual FoxPro (beta version) File #10002
See also mskb #Q262067 BUG: RStoCursor in Vfpcom.dll File Does Not Work with Certain Data Types.

Hi All!
>
>I would like to get information on how to covert an ADO recordset to a VFP Cursor.
>
>TIA.
>
>Robert S Lee