>>>I am sorry that I still don't quite understand the use of GO command in the SQL Server SSMS query window. For example, do I need GO between each line as following:
>>>
>>>

>>>use [MyDatabase]
>>>go
>>>update Table1 set Fld1 = 'value' where Fld1 = 'OldValue'
>>>update Table2 set Fld1 = 'value' where Fld1 = 'OldValue'
>>>update Table3 set Fld1 = 'value' where Fld1 = 'OldValue'
>>>

>>>
>>>Do I need Go between each UPDATE command?
>>>
>>>TIA.
>>
>>No, you don't need GO here. If one of the commands fails then depending on the XACT_ABORT setting the whole batch may fail.
>
>Thank you. So in which case(s) you must put GO between command?

Certain things must be executed in a single batch. Say, creating a new stored procedure or a function.