Tim,
I had to do the same thing (.NET app accessing VFP tables through the VFP provider). My tables weren't particularly large, so I never ran into serious performance problems.
Couple of questions:
1) Can you post the query, and your index definitions?
2) Even if your SELECT statement is simple, are you bringing back a large result set? How many rows are you returning?
3) Related to #2...can you give some info on your architecture? (e.g. are you bringing the results back to a winform app, or to a browser...are you going through a web service, or is your app talking 'directly' to the database, etc.)
Depending on your setup, the delay *may* be due to pulling the result set down, not the query itself.
Kevin