Hi Tim

Processing rows is usually less efficent than using set based commands on
your data set, therefore if you can use a set based solution is should be
better. You can use a CURSOR on a temporary table for example:

SELECT LastName, FirstName
INTO #Employees
FROM Northwind.dbo.Employees
WHERE LastName like 'B%'

DECLARE @LastName [nvarchar] (20) ,
    @FirstName [nvarchar] (10)

DECLARE Employee_Cursor CURSOR FOR
SELECT LastName, FirstName
FROM #Employees
OPEN Employee_Cursor

FETCH NEXT FROM Employee_Cursor INTO @LastName, @FirstName
WHILE @@FETCH_STATUS = 0
BEGIN
   PRINT @FirstName + N' ' + @LastName
   FETCH NEXT FROM Employee_Cursor INTO @LastName, @FirstName
END

CLOSE Employee_Cursor
DEALLOCATE Employee_Cursor
DROP TABLE #Employees

Check out information on DECLARING/OPENING/CLOSING/DEALLOCATING and FETCHING
from cursors in Books Online

John