VS Query analiser and complex sqls

Question

 
 To retrieve data I do use SQL statement with multiple SELECT and creation of  #temp tables ect. 
Simply Copy-Past all that sql code to Query Builder in VS2008 does not work.  Analiser can not recognise more then one SELECT statement.
How to implement complex SQL statements in C# / VB application?
Stored procedures is the one way but it is not an option.
Is it any othe way?

Need some advise where to look for or general directions.

Thank you