Try separating out each SQL statement:
db = Create database Connection("DRIVER=SQL Server;
SERVER=localserver\SQLEXPRESS;
DATABASE=Test"
);
sql1 = "CREATE TABLE #Test ( ID int)";
Execute SQL(db, sql1);
sql2 = "Insert INTO #Test (ID) VALUES (1), (2), (3), (4), (5)";
Execute SQL(db, sql2);
sql3 = "SELECT * FROM #Test";
dt = Execute SQL(db, sql3, "#Test");
sql4 = "DROP TABLE #Test";
Execute SQL(db, sql4);
close database connection(db);