To save your SELECT query results to a text file, use this query :
EXEC master..xp_cmdshell'bcp "SELECT TOP 5 CUSTOMERID FROM Northwind.dbo.Customers" queryout "c:\text.txt" -c -T -x'
One word of caution. xp_cmdshell operates synchronously. So the caller has to wait for the control to be returned to him/her until the command-shell command is completed.
Note: By default, xp_cmdshell is disabled in SQL 2005 for security reasons. To enable it, use the Surface Area Configuration tool or sp_configure. To enable xp_cmdshell using sp_configure, use this query :
EXEC master.dbo.sp_configure 'show advanced options', 1
EXEC master.dbo.sp_configure 'xp_cmdshell', 1