I finally got tired enough of having to click the "Connect" button at SQL Server Management Studio startup, that I decided to look for a way to bypass this prompt. Since in development, I typically am only ever dealing with the same server, the connection dialog always added an extra step to the process of getting up and running.
So, a quick search on Google turned up a list of the following command prompt switches you can use to specify a server (and database) to use when starting up:
sqlwb.exe [-S server_name[\instance_name]] [-d database] [-U user] [-P
password] [-E] [file_name[, file_name]] [/?]
[-S The name of the SQL Server instance to which to connect]
[-d The name of the SQL Server database to which to connect]
[-E] Use Windows Authentication to login to SQL Server
[-U The name of the SQL Server login with which to connect]
[-P The password associated with the login]
[file_name[, file_name]] names of files to load
[-nosplash] Supress splash screen
[/?] Displays this usage information
So, all you need to do to get SQL Server Management Studio to automatically log in to a specific server is to right-click on your SQL Server Management Studio icon, and change the "Target" to something like:
"C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\IDE\SqlWb.exe" -S SERVERNAME -d DATABASENAME
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