Is there something we need to do to enable the Tools >> Options >> Scripting? I don't have that option available to me. I'm using SSMS 2005. I'm the admin of the DB server, so there shouldn't be any permissions issues.
Figured it out--this is a new feature in SQL2K5 SP2. I had SSMS 9.00.2047.00, and the version needs to be 9.00.3042.00. After the SP2 update, I have this feature.