Try this. I am not sure if this will speed Your select much but thats way SELECT parser will use RGDSNum TAG to Optimize the first part of WHERE clause.

Select RZSTOP
Set Order To RGDSNum   && RTE_NO + RTE_LET + DIRECTN + STR(SEQNO,4) + STR(NUMBER,3)
Select * From RZStop ;
      where RZStop.SeqNo = 1 ;
      and EMPTY( RZStop.Time) ;
      into CURSOR csrSubjRZStop ;
      Order by Rte_No, Rte_Let, Directn, Number
lnNoRecs		= _TALLY

Select csrSubjRZStop
lnInterval		= INT( lnNoRecs / 100)
If lnInterval < 1
   lnInterval	= 1
EndIf
lnDone			= 0
Thisform.barProgressBar.Reset( lnNoRecs)
Thisform.barProgressBar.Visible = .T.

SCAN
  lcRteNo 	= RTE_NO
  lcDirectn	= DIRECTN
  lcSeqNo  	= STR( SEQNO, 4)
  lcNumber	= STR( NUMBER, 3)
  lcStopNo	= STOP
  lcCounty	= COUNTY

  SYS(3054,12,"sqlTest")
  Select DISTINCT TIME from	RZStop ;
         WHERE RZStop.RTE_NO+RZStop.RTE_LET+RzStop.Directn+STR(SeqNo,4)+STR(Number,3) ==;
               lcRteNo      + "A"          + lcDirectn    + lcSeqNo    + lcNumber;
               and RZStop.Stop   = lcStopNo ;
               and RZStop.County = lcCounty ;
 	       and not EMPTY( RZStop.TIME) ;
    to SCREEN NOCONSOLE	
  SYS(3054,0)
  MessageBox(sqlTest)
  If _TALLY = 0			&& no hits on this stop # - i.e. all Time values empty
       ...