MS Access has limited capabilities to manage raw SQL queries: the editor is quite bad, no syntax highlighting, it reformats your raw SQL into a long string and you can\'t in
Similar to recursive, I use an external editor to write my queries. I use Notepad++ with the Light Explorer extension for maintaining several scripts at a time, and Notepad2 for one-off scripts. (I'm kind of partial to Scintilla-based editors.)
Another option is to use the free SQL Server Management Studio Express, which comes with SQL Server Express. (EDIT: Sorry, EdgarVerona, I didn't notice you mentioned this already!) I normally use it to write SQL queries instead of using Access, because I typically use ODBC to link to a SQL Server back end anyway. Beware that the differences in the syntax of T-SQL, used by SQL Server, and Jet SQL, used by Access MDB's, are sometimes substantial.