The SQL standard way to implement recursive queries, as implemented e.g. by IBM DB2 and SQL Server, is the WITH clause. See this article for one example of translating a CONNECT BY into a WITH (technically a recursive CTE) -- the example is for DB2 but I believe it will work on SQL Server as well.
Edit: apparently the original querant requires a specific example, here's one from the IBM site whose URL I already gave. Given a table:
CREATE TABLE emp(empid INTEGER NOT NULL PRIMARY KEY,
name VARCHAR(10),
salary DECIMAL(9, 2),
mgrid INTEGER);
where mgrid references an employee's manager's empid, the task is, get the names of everybody who reports directly or indirectly to Joan. In Oracle, that's a simple CONNECT:
SELECT name
FROM emp
START WITH name = 'Joan'
CONNECT BY PRIOR empid = mgrid
In SQL Server, IBM DB2, or PostgreSQL 8.4 (as well as in the SQL standard, for what that's worth;-), the perfectly equivalent solution is instead a recursive query (more complex syntax, but, actually, even more power and flexibility):
WITH n(empid, name) AS
(SELECT empid, name
FROM emp
WHERE name = 'Joan'
UNION ALL
SELECT nplus1.empid, nplus1.name
FROM emp as nplus1, n
WHERE n.empid = nplus1.mgrid)
SELECT name FROM n
Oracle's START WITH clause becomes the first nested SELECT, the base case of the recursion, to be UNIONed with the recursive part which is just another SELECT.
SQL Server's specific flavor of WITH is of course documented on MSDN, which also gives guidelines and limitations for using this keyword, as well as several examples.