Ok Carlos.

You can use:

1- ADO Command:

adoCMD=createObject('adodb.command')

adoCMD.ActiveConnection=...
adoCMD.CommandText="DROP DATABASE EXAMPLE"
adoCMD.Execute()

In this way, you send 1 command at time. Good control

2- SQL Automation:

Look in the help for Sql-DMO. This is the way to go if you want generate a script from the Sql Manager and simply execute it later (or if you want use GO and other things)

This is a example in VB

Private Sub cmd_Install_Click()
On Error GoTo ErrorHandler

Dim oSQLServer As New SQLDMO.SQLServer
Dim bConnected As Boolean

bConnected = False

oSQLServer.LoginTimeout = 30

If chk_Integrated.Value = 1 Then
oSQLServer.LoginSecure = True
oSQLServer.Connect txt_SQLServer.Text
Else
oSQLServer.Connect txt_SQLServer.Text, txt_Login.Text, _
txt_Password.Text
End If

' ... do installation ...
oSqlServer.ExecuteInmediate(filetostr('script.sql'))

oSQLServer.DisConnect
Exit Sub

ErrorHandler:
MsgBox (Err.Description)
If bConnected = True Then
oSQLServer.DisConnect
End If
End Sub