Gad,
You could try something like this:
lnResult = 1
*-- first, create individual result sets
DO WHILE
lcResult = "Step" + PADL(lnResult, 6, "0")
DIMENSION laResult[lnResult]
laResult[lnResult] = lcResult
lnResult = lnResult + 1
SELECT FROM INTO CURSOR (lcResult)
ENDDO
SELECT (laResult[1]) && select first result set
USE DBF() AGAIN IN 0 ALIAS "FinalResult" && reopen cursor in read-write mode
SELECT FinalResult
*-- 'assemble' result sets into one cursor
FOR i = 2 TO ALEN(laResult, 1)
APPEND FROM DBF(laResult[i])
USE IN (laResult[i]) && close temp. result set
ENDFOR
Daniel