I am not sure about DO-WHILE IN MS SQL Server 2008 but you can change your WHILE loop logic, so as to USE like DO-WHILE loop.
1) Example of WHILE Loop
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
END
GO
ResultSet: 1 2 3 4 5
2) Example of WHILE Loop with BREAK keyword
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
IF @intFlag = 4
BREAK;
END
GO
ResultSet: 1 2 3
3) Example of WHILE Loop with CONTINUE and BREAK keywords
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
CONTINUE;
IF @intFlag = 4 -- This will never executed
BREAK;
END
GO