I would recommend you getting SQL In A Nutshell (O'Reilly) - I've only had it 3 months and it's alreeady quite thumbed and bent. Page 149 gives SELECT...LIMIT as a MySQL specific and PostgreSQL specific functions, the syntax is:
MySQL: SELECT * FROM table_name LIMIT (starting_row-1),number_of_rows
PostgreSQL: SELECT * FROM table_name LIMIT number_of_rows,(starting_row-1)
Don't get the two different parameter orders mixed up!
If you aren't using either of these databases (have a look at this comparision table between them if need be), use might be able to use stored procedures to do the job. For a database-independent way, you'll be best having a function within your script in which you loop round to get the data you require.