Something like this could work, assuming a single SQL statememt per file:

use strict;

my $dbh = DBI->connect('dbi:...', 'user', 'pwd');
foreach my $file (@ARGV) {
    open(IN, $file) || die "Can't open $file: $!";
    my $sql = join(' ', <IN>);
    close(IN);
    my $sth = $dbh->prepare($sql);
    $sth->execute() || die $sth->errstr;
    # Maybe you need to fetch rows here?
    while(my $d = $sth->fetch) {
        print "@$d\n";
    }
}
[download]

The above is obviously very minimal (and untested) - and it you have more than one SQL statement per file you need to figure out a way to break the file into SQL statements.

Of course you could also simply use MS-SQL's isql.exec command-line tool to run the statements...

Michael