Raj,
>Because we have a table(vfp-dbf)with 1.5 million records, Is it ok for me to use the cursor to load the grid.
Are you running a SELECT to pull 1.5 million rows? That is going take a long time, especially on a network.
Grids really have no limit to the number of rows they can display. The vertical scroll thumb does begin unusable with multi-million row results which will limit the ability to scroll through the records, but as the others have all said, you shouldn't put that many rows of data into a UI.