Works in 2008R2 -BUT you have to view the 'Spatial Results' tab.

Try this one:

SELECT geometry::Parse('POLYGON((

4 0, 0 0, 3 2, 1 2, 3 4, 1 4, 3 6, 2 6,

4 8, 6 6, 5 6, 7 4, 5 4, 7 2,...