I have a .sql file and I am trying to import it into SQL Server 2008. What is the proper way to do this?
A .sql file is a set of commands that can be executed against the SQL server.
Sometimes the .sql file will specify the database, other times you may need to specify this.
You should talk to your DBA or whoever is responsible for maintaining your databases. They will probably want to give the file a quick look. .sql files can do a lot of harm, even inadvertantly.
See the other answers if you want to plunge ahead.