It will make effect Kapil. Try the below...

As in the explanation the scope is only within the EXECUTE statement.

USE master;

-- Query#1

SELECT DB_NAME() DatabaseName1;

EXECUTE ('USE AdventureWorks2008; SELECT DB_NAME() DatabaseName2');

-- Query#2

SELECT DB_NAME() DatabaseName2;

EXECUTE ('USE AdventureWorks2008; select count(*) from Sales.Customers; USE master; ');

-- Query#3

SELECT DB_NAME() DatabaseName3;