1. open up visual studio 2005
2. choose other project types, database project.
3. setup your db reference
4. right click on queries and choose add new query.
5. choose stored procedure script and name your .sql file.
6. fill in you sql statement in the sproc template or use design sql to generate it visually.
7. choose project -> run
I recently adopted this method of writing stored procedures so i could take advantage of the source control features of vss2005