>>>>If you haven't found it yet...
>>>>
>>>>Tools>Options>Scripting
>>>
>>>No, I have not found it yet. And when I go to my SQL Server 2005 (via SSMS), then click on Tools -> Options, I don't have Scripting. All I have in the Options choices are:
>>>Environment
>>>Source Control
>>>Text Editor
>>>Query Execution
>>>Query Results
>>>Designers
>>>
>>>I think I should do what Naomi suggested and open my SQL Server 2005 via SSMS used for SQL Server 2008. The tools -> options must be different not according to the database version but according to the SSMS. Or maybe I am mistaken.
>>>Thank you.
>>
>>Yes, it varies by SSMS version. Tools>Options>Scripting is for SSMS 2005.
>>Tools>Options>SQL Server Object Explorer>Scripting is for SSMS 2008R2
>>
>>When running SSMS 2008R2 I get the same options connected to either 2005 DBs or 2008R2 DBs.
>
>My SQL Server 2005 SSMS version is 9.00.1399.00. And yet it does not have the Scripting choice. Go figure.
>Thank you.

That must be it. My 2005 SSMS is 9.00.5000.00. Hard to believe there would be that much difference.