One of the Developer complained that he is unable to create one file per object using Generating SQL Scripts within Management Studio. It is one of the good feature within SQL Server 2000 using Enterprise Manager where you can differentiate the objects per file, and it is still available within SQL Server 2005 using Management Studio. To accomplish the same: Right-click on a database, select Tasks, then select Generate Scripts. A wizard begins. After several screens, there is the option to select...(
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Read the complete post at http://sqlserver-qa.net/blogs/tools/archive/2007/10/17/using-management-studio-unable-to-select-create-one-file-per-object.aspx