How to return a large number of records that match on a key fast using OLEDB?

I am approaching a large (~1000,000 records) table using OLEDB. Currently, I run a single query returning the entire table.

To speed up the loading, I am considering to first determine (in c#) the key of the records that I need , and then only return those records. The keys can only be determined in c#.

I expect that I only need 10,000-100,000 records, each with a different key. I can return each of those records by using the following query via OLEDB:

"Select field1,field2,...,fieldn from table where key1 = " + key1[i] + " and key2 = " +key2[i]

Is this the fastest method? And considering that I need to retrieve 1-10% of all records in this way, is it perhaps faster to just retrieve the entire table and skip over the data that I need?