Paging can occur on two levels, and I believe you've identified them. One technique is to return ALL data and use the data bound control to limit which ones are displayed. This is a very heavy technique especially if you have lots of records, but it's the way tools like GridViews manage, I believe. The alternative is to manage this from the data source control and only retrieve the specific rows you want.
Since you want to handle this in the data source end (which is generally the better idea) you need to look at the SQL syntax of your database MS SQL, MySQL, whatever and determine how to break a query into ranges. I believe they all support paging, but it's not part of the SQL standard, so each database has its own proprietary implementation.
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