Exception: There is already an open DataReader associated with this Connection which must be closed first

You are using the same connection for the DataReader and the ExecuteNonQuery. This is not supported, according to MSDN:

Note that while a DataReader is open, the Connection is in use exclusively by that DataReader. You cannot execute any commands for the Connection, including creating another DataReader, until the original DataReader is closed.

Updated 2018: link to MSDN

Always, always, always put disposable objects inside of using statements. I can't see how you've instantiated your DataReader but you should do it like this:

using (Connection c = ...)
{
    using (DataReader dr = ...)
    {
        //Work with dr in here.
    }
}
//Now the connection and reader have been closed and disposed.

Now, to answer your question, the reader is using the same connection as the command you're trying to ExecuteNonQuery on. You need to use a separate connection since the DataReader keeps the connection open and reads data as you need it.

You are trying to to an Insert (with ExecuteNonQuery()) on a SQL connection that is used by this reader already:

while (myReader.Read())

Either read all the values in a list first, close the reader and then do the insert, or use a new SQL connection.