Thanks Ahmed,
The 1st method with xp_cmdshell cannot be used because of security method.
With the second one (with execute @OLEResult = sp_OAMethod @FileID ,'WriteLine', Null, @STR)
I don't arrive to return the entirely result of the select * in one line in an output file.
Maybee there is an other method than WriteLine or Write to return easily the result of a select *...