The SELECT INTO FROM method requires a live DB to query data from. It does not give you a saved, standalone re-runnable script that you can use at a later date to populate an empty database's lookup tables with values for the lookup data (i.e. AddressType, CountryList, StateList, CurrencyType, SuffixType, etc...

This proc generates a script with the data contained within it, which you may need somewhere else or at some other time.