I agree with bipinajith - can't be done in DOS.
But - you can replace the standard command interpreter (command.com in older versions) by sth. like complus.com (a unix-like cmd interpr. for MS OSes) or the sh.exe found in Unxutils.
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then type at the screen, and everything will be sent to the file until you do a CTRL-z to end the copying
echo abcdef >> testfile.txt
will append the abcdef to the end of the existing testfile.txt
Unfortunately, this isn't exaclty what I meant.
What I wanted was to be able to use VB6 to open a command prompt (which I've managed) and then telnet onto a server by sending keypresses to the command prompt (which I've also managed) and I wanted the output for the command prompt to be sent to a file on my local machine.
I thought the best way to do this would be an equivalent of << in Unix
I have however, managed to get around it by running my telnet commands on the server and sending its output to a file on the server and then using Inet to FTP the file to my local computer.