VLDB - SQL SERVER versus VFoxPro
A good place to start would be looking at the SQL CAT team's whitepaper on data loading performance for SQL Server 2008.

The procedural loops in SQL Server are very slow, which would be a large part of the difference in timings.  It would be best to generate files to be bulk loaded in the databases to measure the performance differences.  Also the size of the database will very quickly require the use of multiple database files to spread the load which I'm not sure that FoxPro has any builtin support.