How can I run a T-SQL Script using SQL Credentials? I need to develop a T-SQL insert script for use on a remote SQL 2005 Express instance but I would like the script to include the necessary SQL credentials so all the user has to do is execute the script.  What is the easiest way to accomplish this?
As you describe it, it's not going to work.  The T-SQL script needs to run on a SQL Server which means that it needs to be run in an appropriately-authenticated session.

One option would be to write the TSQL script, and then provide it with a VBScript or CMD file or PowerShell script that'll launch the TSQL at the correct server with the right credentials.