I am using SQL Server Management Studio 2008 R2 to manage a SQL Azure database. When I try to right-click on any of the objects in the database, and do Script Table As -> CREAT
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Latest service update for SSMS: http://support.microsoft.com/kb/2507770
Blog discussing the necessary upgrade: http://social.msdn.microsoft.com/Forums/en-AU/ssdsgetstarted/thread/3dd65548-cf58-41e8-804d-3f6873132a7b