Check out this blog post from Brian Dukes at Engage Software about this very subject.
Editing .SqlDataProvider scripts within Visual Studio
  By simply adding a .sqldataprovider key
  to the correct location and giving it
  the same value as the .sql key,
  everything magically works as
  expected.
  
  The key to create is
  HKLM:\SOFTWARE\Microsoft\VisualStudio[version]\Languages\File
  Extensions.sqldataprovider where
  [version] is 7.1 for Visual Studio
  .NET 2003, 8.0 for Visual Studio 2005,
  etc.  Those are the two versions I
  updated, so those are the two I'm sure
  of.  You should be able to find other
  versions without too much trouble.  If
  you're into PowerShell (I'm getting
  there), here are the four seperate
  commands to run in order to add this
  functionality to those two versions of
  Visual Studio.
Commands for Visual Studio 2008
New-Item -Path 'HKLM:\SOFTWARE\Microsoft\VisualStudio\9.0\Languages\File Extensions\.sqldataprovider'
set-itemproperty -Path 'HKLM:\SOFTWARE\Microsoft\VisualStudio\9.0\Languages\File Extensions\.sqldataprovider' -name "(default)" -value "{FA6E5E79-C8EE-4D37-B79A-5067F8BD5630}"