When you have an application and send a select command, the sql server gathers all the data and sends them back to your application and fills your datagrid (for example)

If you performed the same select command in sql management studio, immediately as the query starts running and finding data the results panel would start filling with the data found.

How can I do that for my winforms application?
Is there a technique or a standard method of doing something like this?
Links to good examples would be an immense help.

thanks