To my knowledge there is no way to do this in T-SQL. I think Oracle has some syntax for it, that may be why some want this. I can't see any reason to include it in T-SQL. If anything, there could be some way to set it up in Query Analyzer 'automatically'. What you can do is create a command-line batch script that uses osql to run each script.
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Chris Hedgate @ Apptus Technologies (http://www.apptus.se)