Postgresql historically doesn't support procedural code at the command level - only within functions. However, in Postgresql 9, support has been added to execute an inline code block that effectively supports something like this, although the syntax is perhaps a bit odd, and there are many restrictions compared to what you can do with SQL Server. Notably, the inline code block can't return a result set, so can't be used for what you outline above.
In general, if you want to write some procedural code and have it return a result, you need to put it inside a function. For example:
CREATE OR REPLACE FUNCTION somefuncname() RETURNS int LANGUAGE plpgsql AS $$
DECLARE
one int;
two int;
BEGIN
one := 1;
two := 2;
RETURN one + two;
END
$$;
SELECT somefuncname();
The PostgreSQL wire protocol doesn't, as far as I know, allow for things like a command returning multiple result sets. So you can't simply map T-SQL batches or stored procedures to PostgreSQL functions.
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