variable copy statement?

Hi. I am new to PostGreSql from a background with Microsoft SQL Server.

Running PostgreSQL 7.0.3 on Red Hat Linux 6.2. I use a COPY statement to
write out a file but need to get the file name from a database table. How
can this be done? This is my statement that works fine:

COPY dbtable TO '/path/filename';

Now I need to select and create the '/path/filename' out of a database, and
then run the COPY statement as just created dynamically.

In MS SQL Server this could easily be done with the EXEC statement and a
variable containing the statement to be executed. How to do it in
PostGreSql?

Magnus