I have this issue occurring in my installation of SQL Server 2008 SSMS, but only intermittently. Sometimes when I double-click a .sql file, SSMS will gain focus, but the document will not open in the editor. I need to tab back to File Explorer and double-click the file again for it to open in the editor. The following steps will always reproduce the issue.
1) Launch SSMS
2) Double-click a .sql file for File Explorer.
3) Click cancel when prompted to open a connection.
4) Close the document you just opened (not SSMS, just the document)
5) Go back to File Explorer and try to open the same (or a different) .sql file.
6) SSMS gains focus but no document opens.
Does anyone else find this behavior? I know it happens under more scenarios also, but this is one that I could pinpoint.