O
SET
precisa vir antes do FROM\JOIN\WHERE
parte da consulta. UPDATE CE
SET sJobNumber = AD.JobNumber
FROM CostEntry CE
INNER JOIN ActiveCostDetails As AD
ON CE.lUniqueID = AD.UniqueID
WHERE CE.SEmployeeCode = '002'
AND SubString(CostCentre, 1, 1) = sDepartmentCode
AND substring(CostCentre, 3, 1) = sCategoryCode
AND substring(CostCentre, 5, 2) = sOperationCode