Thanks David.  If you're on SQL 2005 it's a simple matter of converting the function to a CTE and adding a ROW_NUMBER() to it.  I set it up that way initially but noticed some performance was lost.  For SQL 2000 it's more complicated, and your best bet might be to change the UDF to a regular table-valued function and INSERT the results into a table variable with an IDENTITY column.  Again,  you'll lose performance that way, but depending on your situation it might be worth it.

Below is an example on SQL 2005 using a CTE and the ROW_NUMBER() function.  Note that I don't have a SQL 2005 installation handy, so I wasn't able to test this before posting.  There may be a syntax error or two in it, but you get the idea.

CREATE FUNCTION dbo.fnSetSplit (@String VARCHAR(8000))

RETURNS TABLE

AS

RETURN (

    WITH Splitter(Num, String) AS

    (

    SELECT Num,

        SUBSTRING(@String,

            CASE Num

                WHEN 1 THEN 1

                ELSE Num + 1

            END,

            CASE CHARINDEX(',', @String, Num + 1)

                WHEN 0 THEN LEN(@String) - Num + 1

                ELSE CHARINDEX(',', @String, Num + 1) - Num -

                    CASE

                        WHEN Num > 1 THEN 1

                        ELSE 0

                    END

               END

            ) AS String

    FROM dbo.Numbers

    WHERE Num <= LEN(@String)

        AND (SUBSTRING(@String, Num, 1) = ','

            OR Num = 1)

    )

    SELECT ROW_NUMBER() OVER (ORDER BY Num) AS Num, String

    FROM Splitter

)