I think that you missed my point. A cursor IS a while loop (well, not exactly but it needs it to be useful).

There's a different way to do that, but a for these kind of queries the cursors are fine because you're going one server (or one database) at a time.

DECLARE @SQL varchar(8000);

SELECT @SQL = STUFF((

SELECT '

UNION ALL

SELECT loginame,

hostname,

dbname,

cmd

FROM OPENROWSET(''SQLNCLI'',''Server='+server_name+';Trusted_Connection=yes;'',''exec sp_who'')'

FROM dbo.Tbl_ServerList

FOR XML PATH(''),type).value('.', 'varchar(8000)'), 1, 11, '') ;

INSERT INTO Capture_Logins

EXEC(@SQL);

You can find other alternatives for management such as the one explained here:

http://msdn.microsoft.com/en-us/library/bb964743.aspx