Use a database abstraction layer like PEAR. This is a requirement.
Next, opinion: I use a file called set_environment.php which I use to create a global $db object which I then use whenever I need to query something. If I have to query while inside an iteration of a result set, no problem. Using pear, it works like this:
$res = $db->query('select * from user');
while ($row = $res->fetchRow()) {
$someValue = $db->getOne('select x from y where z = ' . $row['field']);
}
pear.php.net for questions.