I have your answer... the row_number windowing function is not available in DB2 8.2 for z\OS (it is in the windows/'nix versions). You'll have to do it the old fashioned way.
From the DB2 Portal:
The next OLAP specification introduced by DB2 9 for z/OS is ROW_NUMBER. ROW_NUMBER specifies that a sequential row number is computed for the row that is defined by the ordering, starting with 1 for the first row. If the ORDER BY clause is not specified in the window, the row numbers are assigned to the rows in an arbitrary order, as the rows are returned. This satisfies an often-requested capability to simply assign a number to the result rows of a query. Row numbers also enable easy formulation of queries for computing histogram statistics and they enable formation of other OLAP specifications (for example, moving sums, moving averages, and so on).
select x.mycol1
from (
select a.mycol1,
(select count(*)
from mytable1 b
where b.mycol1 <= a.mycol1) as rn
from mytable1 a
) x
where x.rn between 3 and 5
[ January 08, 2008: Message edited by: Paul Campbell ]