Patients receive anti-thymocyte globulin IV over 8 hours on days 1-4. Patients also receive etanercept subcutaneously on days 8, 11, 15, and 18. Treatment with etanercept repeats every 28 days for at least 2 courses. Patients exhibiting hematologic improvement after course 2 may receive up to 2 additional courses of etanercept in the absence of disease progression or unacceptable toxicity. Patients with unresponsive disease or disease progression after course 2 are removed from the study and offered other treatment.