Follow the following guidelines when using the Union statement with other Transact-SQL statements:
The first query in the Union statement can include an INTO clause that is used to create a table that accommodates the final result set. Only the first query can use the INTO clause. If the clause appears elsewhere, Microsoft® SQL ServerTM 2000 will display an error message. Also remember: If you do not set the select into / bulkcopy option, the SELECT INTO clause can only create a temporary table. The ORDER BY and COMPUTE clauses are allowed to define the order of the final result or calculate the summary value using the ORDER BY and COMPUTE clauses to define the order of the final result. These clauses cannot be used in separate queries that set up a Union statement. Group By and Having clauses can only be used in separate queries; they cannot be used to affect the final result set. UNION operators can be used in the INSERT statement. The For Browse clause cannot be used in a statement containing the UNION operator.
If you use a UNION operator, a separate SELECT statement cannot contain its own Order by or compute clause. You can only use an ORDER BY or COMPUTE clause after the last SELECT statement; the clause applies to the final combined result set. Group BY and HAVING clauses can only be specified in a separate SELECT statement.