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I'm not sure about pointing it to an FTP site, but you definately don't want to use a DSN. A DSN is used by ODBC connections. If you specify a DSN in your ActiveX Data Objects connection string, the data will go through ODBC, then through ActiveX Data Objects/OLEDB, and finally to your application.
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Thanks for the response! I guess my question is, "Can I use ADO over TCP/IP with VFP tables on the backend like I can with SQL tables?"