I can't believe this is the slickest way to achieve what you're after, but this works :w00t:

[font="Arial Black"]CREATE PROCEDURE EXPORT_DATA

@FileName varchar(255)

as

begin

declare @bcpCommand varchar(255), @Result int

set @bcpCommand = 'bcp "Select 1 as a" queryout "' + @FileName + '" -c -t, -T -S '

exec @Result = master..xp_cmdshell @bcpCommand, no_output

end[/font]

Don't forget that xp_cmdshell is not enabled in the db configuration by default

Mike.