>I want to take what is being sent to the grid, or text in the results window via the PRINT command, and put it in a a table/cursor so I can move through it and do some processing on each row. How can I do that?

I'm not sure what you want.
If you want just to put results from a PRINT command to some table, the you could use Table variable to store messages there.

DECLARE  @Prt TABLE (Id int IDENTITY(1,1), Description varchar(8000))

DECLARE @i int
SET @i = 0
WHILE @i < 500
     BEGIN
         print @i
         INSERT INTO @Prt (Description ) VALUES ('Main loop @i = '+CAST(@i as varchar(30)))
        SET @i = @i + 1
   END

SELECT * FROM @Prt