Is it possible to do some damage to database with SELECT query?

["Teemu Juntunen" <teemu.juntunen@xxxxxxxxxx>]

Hi,

is it possible to make a SELECT query with some nasty follow up commands, 
which damages the database.

Something like:

SELECT *,(DROP DATABASE enterprise) AS roger FROM sales WHERE sales > 
(UPDATE order SET order=1);

I know this wont work, but is there some possibility to modify database with 
SELECT query?

I'm developing an ERP where I would like to implement a statistical program 
where you can write your own SELECT queries.

Best Regards,
Teemu Juntunen