In SQL Server 2008 you can insert multiple rows using a single SQL INSERT statement.
INSERT INTO MyTable ( Column1, Column2 ) VALUES
( Value1, Value2 ), ( Value1, Value2 )
For reference to this have a look at MOC Course 2778A - Writing SQL Queries in SQL Server 2008.
For example:
INSERT INTO MyTable
( Column1, Column2, Column3 )
VALUES
('John', 123, 'Lloyds Office'),
('Jane', 124, 'Lloyds Office'),
('Billy', 125, 'London Office'),
('Miranda', 126, 'Bristol Office');