Пример использования MARS
SqlConnection cn = new SqlConnection
  ("SERVER= sql2005;INTEGRATED SECURITY=True;"
    + "DATABASE=AdventureWorks");
SqlCommand cmd1 =
new SqlCommand("SELECT * FROM Person.Contact", cn);
cmd1.CommandType = CommandType.Text;
try
{
    cn.Open();
    SqlDataReader rdr = cmd1.ExecuteReader();
    while (rdr.Read())
    {
if (rdr["FirstName"].ToString() == "Kim")
      {
        // This is using the same open connection
        SqlCommand cmd2 = new SqlCommand
          ("SELECT * FROM HumanResources.Employee "
            + "WHERE EmployeeID = 3", cn);
        cmd2.CommandType = CommandType.Text;
        SqlDataReader rdr2 = cmd2.ExecuteReader();
        while (rdr2.Read())
        {
          // Process results
        }
        rdr2.Close();
      }
    }
rdr.Close();
    }
catch (Exception ex)
{
    MessageBox.Show(ex.Message);
}
finally
{
    cn.Close();
}