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I'm pretty sure that's due to the way the DataReader works. Basically, it reads records one at a time from the database, staying connected to the database, so there's no method to randomly access the records.
You could use one of the other Data objects, such as a DataSet, or you could read the records into a strongly typed custom object (prefered).
If there are a lot of records in the database, you'd be better off using cusom paging to only query the database for the records on the current page, as opposed to retreiving them all and then paging through them.
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