Sorry for double post, I tried your code and it worked fine until it reached the last record in my test set- where it then loops - this is my modified code

Create Procedure DontUseCursors
As
DECLARE @MasterRef varchar(10)
DECLARE @ClaimRef varchar(10)


Declare @i int

SELECT @MasterRef = c.MasterRef,
       @ClaimRef = p.ClaimRef
 FROM PIFTest p
	Inner Join claim c
	on c.ClaimRef = p.ClaimRef
      INNER JOIN (SELECT MIN(ClaimRef) AS ClaimRef FROM PIFTest) Tbl1
ON p.ClaimRef = Tbl1.ClaimRef

Select @i = Count(ClaimRef) From PIFTest

WHILE (@i > 0)
    BEGIN
	print @ClaimRef
       SELECT @MasterRef = c.MasterRef,
       @ClaimRef = p.ClaimRef
 	FROM PIFTest p
		Inner Join claim c
		on c.ClaimRef = p.ClaimRef
     	 INNER JOIN (SELECT MIN(ClaimRef) As ClaimRef FROM PIFTest
	 Where ClaimRef > @ClaimRef) Tbl1
	ON p.ClaimRef = Tbl1.ClaimRef
	print @i
	Set @i = (@i - 1)
    END


GO

In this example I'm only printing out the variable, if I leave the While condition as "While @ClaimRef is not null" it just loops so I changed it to what you see ( which is not exactly elegant - but it works ) it seems @ClaimRef is never null - thanks