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