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Caché does NOT support SQL-92 in its full implementation, so please refrain from saying so.  Example:

SELECT 3+3*3

Result: 18

Clearly, by not following order of operations we are violating the standard.  Moreover, despite not conforming perfectly to SQL-92 we do support plenty of extensions, such as Table-Valued Functions.

That said, Caché does not support WITH in the way you describe.  However, you can accomplish the same thing by using subqueries, VIEWs, or multiple queries.  You can also JOIN each record with its parent and filter on that.  If you give some more information I'd be happy to point you in the right direction.