Vlad:
Just to follow up for others who might not be aware. I had tried this approach some time ago, but could never get the SQLEXEC to return a result set. I found in BOL where in asynch mode, you have to repeatedly call SQLEXEC until it returns a result set. So I modified your code just a bit as follows:

Local lnRetVal

lnRetVal = SQLEXEC(nHandle, "SELECT @@IDENTITY as nID","MyCursor")
Do While lnRetVal=0
lnRetVal = SQLEXEC(nHandle, "SELECT @@IDENTITY as nID","MyCursor")
EndDo

This seems to always catch it on just the second pass.

Thanks again...