Cursor much faster when loop. What's wrong ?

SELECT TOP(100) * INTO #tmpTable FROM MyTable WHERE MyDate<@ThisDate
DECLARE My_Cursor CURSOR FOR SELECT ID, convert( varchar(max), MyRequest) AS MyResponse 
FROM #tmpTable WHERE ID > 0 AND MyNumber > 0
OPEN My_Cursor
FETCH NEXT FROM My_Cursor INTO @ID, @Response
WHILE @@FETCH_STATUS = 0
BEGIN
  --Some T-SQL code
  WHILE @MyVar <> 0
  BEGIN
       --Some T-SQL code  in loop with modification of @MyVar
  END
  FETCH NEXT FROM MY_Cursor INTO  @ID, @Response
END
CLOSE My_Cursor
DEALLOCATE My_Cursor

I replaced this cursor on loop as follows:

SELECT TOP(100) *, ROW_NUMBER() OVER(ORDER BY MyRecord) AS '_Counter' INTO #tmpTable FROM MyTable WHERE MyDate < @ThisDate
DECLARE @cnt int
SELECT @cnt = MAX(_Counter) FROM #tmpTable
WHILE(@cnt >0)
BEGIN
  SELECT @quid = QUID, @Response =convert(varchar(max),OFXRequest) FROM #tmpLog WHERE QUID > 0 AND OFXResSize > 0 AND _Counter = @cnt
  --Some T-SQL code
   WHILE @MyVar <> 0
   BEGIN
     --Some T-SQL code in loop with modification @MyVar 
   END
SET @cnt = @cnt - 1
END

When I tested modified script without cursor - it worked 1 hour and 5 minutes. Script with cursor works 13 minutes.

Why script with cursor so much faster than without cursor ?
What's wrong in my code ?

Thanks

Andy

Andy Mishechkin