In SSMS, "Query" menu item... "Results to"... "Results to File"
Shortcut = CTRL+shift+F
You can set it globally too
"Tools"... "Options"... "Query Results"... "SQL Server".. "Default destination" drop down
Edit: after comment
In SSMS, "Query" menu item... "SQLCMD" mode
This allows you to run "command line" like actions.
A quick test in my SSMS 2008
:OUT c:foo.txt
SELECT * FROM sys.objects
Edit, Sep 2012
:OUT c:foo.txt
SET NOCOUNT ON;SELECT * FROM sys.objects
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