No CURSOR, WHILE loop, or User-Defined Function needed.
Just need to be creative with FOR XML and PATH.
[Note: This solution only works on SQL 2005 and later. Original question didn't specify the version in use.]
CREATE TABLE #YourTable ([ID] INT, [Name] CHAR(1), [Value] INT)
INSERT INTO #YourTable ([ID],[Name],[Value]) VALUES (1,'A',4)
INSERT INTO #YourTable ([ID],[Name],[Value]) VALUES (1,'B',8)
INSERT INTO #YourTable ([ID],[Name],[Value]) VALUES (2,'C',9)
SELECT
[ID],
STUFF((
SELECT ', ' + [Name] + ':' + CAST([Value] AS VARCHAR(MAX))
FROM #YourTable
WHERE (ID = Results.ID)
FOR XML PATH(''),TYPE).value('(./text())[1]','VARCHAR(MAX)')
,1,2,'') AS NameValues
FROM #YourTable Results
GROUP BY ID
DROP TABLE #YourTable