Спасибо, ребята. С твоей помощью привел меня к использованию временных таблиц вот так ....
DECLARE @companies TABLE (comp_code INT) -- create temporary table
INSERT INTO @companies VALUES (5) -- ( repeat this line for each additional company you wish to keep )
DELETE FROM tableOne Where (Comp_Code NOT IN (select comp_code from @companies));
DELETE FROM tableTwo Where (Comp_Code NOT IN (select comp_code from @companies));
DELETE FROM tableThree Where (Comp_Code NOT IN (select comp_code from @companies));
-- etc etc