If I understand correctly, you want to execute a single SELECT statement that joins both SQL Server data and a FoxPro table - yes?
Your idea of first importing the FoxPro table into SQLS would probably work, but would be quirky and time-consuming. If the tables involved on SQLS is not huge, you would be better off SELECTing the SQLS table into a local FP cursor, then using FP's SELECT to join that with your local data. Assuming we are talking Visual FoxPro, that is.
Not that it helps you much, but in SQLS 7/2000 you can perform a heterogenous join where SQLS will join both SQLS tables and tables from other data sources together in a single SELECT. Really cool, especially when it works (it is somewhat picky about the supported data sources, but DBF is one of the supported types).