Simple. Add a loop continuation condition in your WHILE statement.

[font="Courier New"]DECLARE @lb_Exit bit

SET @lb_Exit = 0

WHILE (@@FETCH_STATUS = 0) AND (@lb_Exit = 0) BEGIN

IF your_condition SET @lb_Exit = 1

END[/font]

In fact, should @@ERROR become something else than 0 within the loop, I also use this method to exit the loop.