Error starting at BEGIN of WHILE LOOP in SQL Server 2005

I get an error message every time I run a WHILE loop code (in Oracle SQL Developer 2005). I got the following code from online examples and the error seems to occur at Line 4 which is where the "BEGIN" statement is.

-- DECLARE @intFlag int
    SET @intFlag = 1
    WHILE (@intFlag <=5)
    BEGIN
     PRINT @intFlag
    SET @intFlag = @intFlag + 1
    IF @intFlag = 4
    BREAK;
    END
    GO

Error message:

Error starting at line 4 in command:
    BEGIN
     PRINT @intFlag
    SET @intFlag = @intFlag + 1
    IF @intFlag = 4
    BREAK;
    END
    GO
    Error report:
    [Microsoft][ODBC Microsoft Access Driver] Invalid SQL statement; expected 'DELETE', 'INSERT', 'PROCEDURE', 'SELECT', or 'UPDATE'.

What could be causing this error? Should I be using a different way to implement the WHILE loop?