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In ADO.NET 1.x a disconnected model is used, so you can only select the whole data at once and store it in memory (DataAdapter & DataSet) or you can select data row by row in a read-only forward-only manner (DataReader)
In ADO.NET 2.0 however, a server-side cursor is implemented that maybe means that this is possible.
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You cud better search for 'database' within www.c-sharpcorner.com site to find plenty of articles related to databases.