Multiple Statements in a query

I have 2 statements that I'd like to string together in a query, but
according to everything I'm seeing, it's not possible.
What I'm doing is an insert of a row, where the primary key is an auto
increment. I want to retrieve that by using LAST_INSERT_ID(). I
tried sending another query after the first (once I knew that it the
data was what I need) but it didn't return anything. It seems that
that function can't be used in separate calls or something. Either
that or there's a setting that I need to check. Any ideas?

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