I am facing a problem when I fetch data from external database table in SQL Server 2000. I am not able to find out the solution though have tried various options.

i have created a link as follows:

exec sp_addlinkedserver
@server = 'link_sanjay',
@srvproduct = 'sqlserver',
@provider = 'sqloledb',
@datasrc = 'deep',
@provstr = 'Driver=(SQL SERVER);UID=sa;pwd=password'

where 'deep' is the name of the my external database resides.
'link_sanjay' is the name of my link server through which I would be connecting to external database.

after this I added logins:
EXEC sp_addlinkedsrvlogin link_sanjay, 'false', NULL, NULL, NULL

when i am executing following query from query analyzer, it works perfectly fine:
SELECT a.* FROM OPENROWSET
('SQLOLEDB','local_server';'sa';'' , 'select * from
link_sanjay.sales.dbo.tbl_orders') as a

this would definitely return me a set of record which I want to use as I used to use cursor. I want to scroll through each record and read value. can anybody tell me how to do that?
Is this the right approach I have taken to read records from external database and to scroll through like a cursor? or if there is any other way, pls let me know...
Pls help.