Using sp_remotesql to define a cursor.

[rblumstein]

I'm trying to use a query defined by macro substitution with the sp_remotesql function. I tried:

DECLARE cursor_name CURSOR FOR
EXEC sp_remotesql local, @sSQL1, @sSQL2,...

However I always get the compile error:

Msg 156, Level 15, State 1:
Incorrect syntax near the keyword 'exec'.

How can I get this query into a cursor?
Do I have to store it in a table?