// 1. Without goto
bool needExit = false;
for(int i=0; i<10;i++)
{
    for(int j=0; j<10;j++)
    {
        if(CONDITION)
        {
            needExit = true;
            break;
        }
    }

    if(needExit)
    {
        break;
    }
}


// 2. With goto:
for(int i=0; i<10;i++)
{
    for(int j=0; j<10;j++)
    {
        if(CONDITION)
        {
            goto out; // jump to label 'out'
        }
    }
}

out:
// ...

$first_step = mysql_query("SELECT X") or die("Errore query select_pro: " . mysql_error());
while($prodotti_first = mysql_fetch_array($first_step))
{
$actual_code = $prodotti_first[X];
$pro_url = $prodotti_first[X];
$count=1;
for ($i=0;$i<$count;$i++)
{
$second_step = mysql_query("SELECT X LIKE '%$actual_code%'") or die("Errore query first_step: " . mysql_error());
$second_step_num = mysql_affected_rows();
if ($second_step_num==0)
{
$third_step = mysql_query("SELECT X LIKE '%$actual_code%'") or die("Errore query second_step: " . mysql_error());
$third_step_num = mysql_affected_rows();
if ($third_step_num==0)
{
$path = "../my-path/".$pro_url;
if (file_exists($path.".php"))
{
unlink($path.".php");
}
}
else
{
$prodotti_third = mysql_fetch_array($third_step);
$actual_code = $prodotti_third[X];
$count++;
}
}
}
}