>>Command line utility is sqlcmd.
>
>Thanks, and this comes with which installation or is it a standalone tool we download from somewhere?

Interesting question. I believe it is not part of the Windows and have to be dowloaded separately. I ran several Google Searches in order to confirm or deny it, but there is nothing conclusive.

I did find the link to Download, though, http://www.microsoft.com/download/en/details.aspx?id=15748 (SQL 2005)
so I assume if you want to run it locally from a client PC and it doesn't have it already installed, you may want to go ahead and download it.