>>However, the same problem does not occur if you use ADO to send the commands. Another well known issue is that you can not send commands containing GO to SQL Server. Although GO works in SSMS, it is not officially part of the T-SQL language and does not work when sent as a command. Workarounds are to send the script using SQLDMO (deprecated), SQLSMO (.NET), a command-line utility, or to parse the GOs out and send each command separately.
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>Why separately? Just remove the lines containing the "GO" alone, and send the whole string. I sometimes have rather long ones, which return 20+ cursors, no problem at all.
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>And, BTW, you can't have a question mark even in a comment, not even at the end of sentence. VFP's SQL engine will get completely confused with it.

There may be some unnecessary GOs, but this is a script to create the database and some are required. For example, SQL Server requires CREATE FUNCTION to be the first statement in a command, and my script contains UDFs. It's a little extra work to parse out the commands, but my code executes the script one step at a time the same way SSMS would.