Do While rsSendEmails.State = adStateClosed
    Set rsSendEmails = rsSendEmails.NextRecordset
Loop

create procedure ...
AS
SET NOCOUNT ON;
....

CREATE  PROCEDURE [dbo].[spx_Insert_tblSecurityMessage]
	@Subject nvarchar(250),
	@Message  nvarchar(max),
	@SecurityMessageTypeID int = 0,
	@SecurityMessageTypeValue varchar(2000) = NULL
AS
BEGIN

	SET NOCOUNT ON
	SET ANSI_WARNINGS OFF	
	
	DECLARE @SQLCommand varchar(2000)	
	DECLARE @SMID int
	DECLARE cur CURSOR FOR SELECT Value FROM dbo.fn_Split(@SecurityMessageTypeValue, ',')
	DECLARE @SingleValue varchar(50)
	DECLARE @SMParam varchar(2000)
	
	SET @SMParam = ''
	
	OPEN cur
	INSERT INTO [dbo].[tblSecurityMessage] (
		[Subject],
		[Message])
	VALUES (
		@Subject,
		@Message)
	SET @SMID = @@IDENTITY

	FETCH NEXT FROM cur INTO @SingleValue
	WHILE @@FETCH_STATUS = 0
	BEGIN
		INSERT INTO [tblSecurityMessageOption] (
			[SecurityMessageID],
			[SecurityMessageTypeID],
			[SecurityMessageTypeValue])
		VALUES (
			@SMID,
			@SecurityMessageTypeID,
			@SingleValue)
		IF @SingleValue IS NOT NULL
			SET @SMParam = @SMParam + '''' + @SingleValue + ''','
		FETCH NEXT FROM cur INTO @SingleValue
	END
	CLOSE cur
	DEALLOCATE cur
	
	IF @SMParam IS NOT NULL AND @SMParam <> ''
		IF SUBSTRING(@SMParam, LEN(@SMParam), 1) = ','
			SET @SMParam = LEFT(@SMParam, LEN(@SMParam) - 1)	
	
	SET @SQLCommand = 'SELECT * tblMessage WHERE Value = ''' + @SMParam + ''''
					
	execute (@SQLCommand)
	SET NOCOUNT OFF
END
GO

EXEC	[dbo].[spx_Insert_tblSecurityMessage]
		@Subject = N'Test',
		@Message = N'Test',
		@SecurityMessageTypeID = 1,
		@SecurityMessageTypeValue = N'830830,930930'

<event EventClass="12" CPU="1094" Reads="38287" Writes="21" Duration="15720703" SPID="52" LoginName="sa" DatabaseName="Test" ObjectName="" ApplicationName="Internet Information Services">exec spx_Insert_tblSecurityMessage 'Test', 'Test', 1, '811439, 763161, 763162, 763163, 829073, 849735, 849736'</event>

CREATE   FUNCTION [dbo].[fn_Split](@sText varchar(8000), @sDelim varchar(20) = ' ')
RETURNS @retArray TABLE (idx smallint Primary Key, value varchar(8000))
AS
BEGIN
--...........................

	DECLARE @SecurityMessageTypeValue varchar(2000)
	DECLARE @SingleValue varchar(50)
	
	SET @SecurityMessageTypeValue = '5623, 258596, 55533, 55552'
	
	WHILE CHARINDEX(',', @SecurityMessageTypeValue) > 0
	BEGIN
		SET @SingleValue = SUBSTRING(@SecurityMessageTypeValue, 0, CHARINDEX(',', @SecurityMessageTypeValue))
		PRINT LTRIM(RTRIM(@SingleValue))
		SET @SecurityMessageTypeValue = SUBSTRING(@SecurityMessageTypeValue, CHARINDEX(',', @SecurityMessageTypeValue)+1, LEN(@SecurityMessageTypeValue) - CHARINDEX(',', @SecurityMessageTypeValue))
	END
	IF @SecurityMessageTypeValue <> ''
		PRINT LTRIM(RTRIM(@SecurityMessageTypeValue))

5623
258596
55533
55552