SSMS asks me to connect for every query in my project. Is there a way to connect only once per connection for all of the queries using it in my project?
The answers below (March 2014) don't answer the question. Still looking for a solution.
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Click View --> Registered Servers Right-click Local Server Groups --> New Server Registration
Then you can store the connection info, name it what you want, and just double-click then when you want to use it.
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Do you have a connection configured for your project within SSMS?
If not right-click under Connections and create a new connection to your instance. Then to create a new query simply right click the connection you created and select "new query". It will then use that connect for your query.
It is by design it does this because the query you create has to be associated to some connection, which clicking cancel will obviously create the query with no connection.