The neatest is to use a function that splits the string. (i.e like the split function in VB) Such a function can be used in lots of places in an app i.e dynamic IN clauses.
There are some examples in the script library my script (yet to be approved can be got from http://www.sqlservercentral.com/scripts/scriptdetails.asp?scriptid=528)
Simon Sabin
Co-author of SQL Server 2000 XML Distilled
http://www.amazon.co.uk/exec/obidos/ASIN/1904347088
Simon Sabin
SQL Server MVP
http://sqlblogcasts.com/blogs/simons