You have made the classic mistake of trying to process your data using existing thinking in a language/environment that doesn't support it.

transact-SQL is the way to go for handling your data processing requirements. The first thing you need to do is re-examine what you are doing to the data. Then look at the filters you apply.

You will find that processing the data in SQL will be many times faster overall than anything involving COM, DCOM, other tiers, or even downloading large result sets to VFP, then pushing it back up the wire. The only possible alternative would be an extended stored procedure executing on the SQL Server, but that is dangerous and can be difficult to write.

The final thing I would mention now is indexing. Don't just index on the same columns you had in VFP. SQL is a different animal altogether and indexing strategies are totally different.

Regards
Simon