Thanks to all. Jim, I started out trying it your way and threw it out. So I looked at it again and Jay's stuph and came up with this:

Select Top 1 iBatchID , cFileName , cStatusDesc From table Order by iBatchID ;
WHERE cFileName like '\\vanbustest\sccf$\01102301.120%' ;
AND iBatchID NOT IN (SELECT iBatchID from  table WHERE cStatusDesc like 'Processing comp%')

And that gives me just the rows where a file does not have a "Processing complete" entry in the table. And Rushmore likes it because I just have simple left-to-right expressions in my Where clause. :)