Normally when I want to change the connection for a Query Editor Window in SQL Server Management Studio, I can select a new connection from the menus at the top - Query > Co
Well, SSMS does not allow to manage connections easily (particulary, when you want to switch connections between servers). I have developed add-in for SSMS: SSMSBoost - it adds additional combobox to the toolbar with your favorite connections (you have to define them). In your case, after opening the script you will have to pick the right connection from this new combobox and it will be established. Addin is currently free.