Tests are run sequentially, just as you describe. So the simple answer is you do not have to do anything to get this functionality.
However super-long test functions, with a mix of fixture creation and asserts are considered bad form when unit testing: they become harder to maintain, and it takes longer to isolate the problem. The Catch way of tackling this issue is rather interesting, see the tutorial on Sections; I also found this presentation (video, 67 mins) by Phil Nash, where (from about 20:00 to 28:00) he explains quite clearly how sections and nested sections work.