interesting....I use this code with the Northwind DB in SQL 7 and it works fine:

Code:
CREATE PROCEDURE spu_test AS

declare @MyCustomerID varchar(50)

Declare MyCursor cursor for
select CustomerID from Customers

open MyCursor

fetch next from MyCursor into @MyCustomerID

while (@@FETCH_STATUS = 0) 
begin 
print @MyCustomerID
fetch next from MyCursor into @MyCustomerID
end