NOTE: This answer is for SQL Server 2005. For SQL Server 2008 and later, there are much better methods as seen in the other answers.
You can use INSERT with SELECT UNION ALL:
INSERT INTO MyTable (FirstCol, SecondCol)
SELECT 'First' ,1
UNION ALL
SELECT 'Second' ,2
UNION ALL
SELECT 'Third' ,3
...
Only for small datasets though, which should be fine for your 4 records.