The only way to do this is with multiple statements. Using dynamic sql you can do this by separating each statement in your query string with a semi-colon:
"DECLARE @ID int;INSERT INTO [Entry] (...) VALUES ...; SELECT @ID = scope_identity();INSERT INTO [TAGS] (ID_ENTRY) VALUES (@ID);"
Make sure you put this in a transaction to protect against concurrency problems and keep it all atomic. You could also break that up into two separate queries to return the new ID value in the middle if you want; just make sure both queries are in the same transaction.
Also: you are using parameterized queries with your dynamic sql, right? If you're not, I'll personally come over there and smack you 10,000 times with a wet noodle until you repent of your insecure ways.