The purpose is to determine how Drotrecogin Alfa (activated) will affect patients with blood cancers who develop severe sepsis within 60 days of starting chemotherapy in preparation for bone marrow transplant (BMT).

The purpose of this study is to determine how Drotrecogin Alfa (activated) will affect leukemia, lymphoma and myeloma patients who develop sever sepsis within 60 days of starting chemotherapy in preparation for bone marrow transplant (BMT). The study will evaluate the safety of Xigris by assessing the risk of serious bleeding events, including bleeding within the brain and serious bleeding leading to death.

Inclusion Criteria:

• Participants must have Leukemia, Lymphoma or Myeloma.
• Participants must have had hematopoietic stem cell transplantation(HSCT) within the past 60 days.
• Participants must have infection with either vasopressor dependent septic shock or ventilator-dependent respiratory failure.
• Participants must be on a breathing machine or require medication to maintain their blood pressure.

Exclusion Criteria:

• Participants must not have increased bleeding risk due to medical conditions or medications.