Often times I write some SQL like this:
string sql = @"
-- Multi-line SQL
It is not going to work as others are telling you. How would VS know which strings are sql and which are not. If you dont want to use sql files, you can make your own file extension like ".sqlx" or something and then in VS properties assign SQL editor for this extension, so VS knows to apply correct colour coding to it.
Then you can do something like this:
string sql = System.IO.File.ReadAllText("your path to sql file");
It may even be better because at least you will keep SQL code separate. However, I would strongly recommend looking at Entity Framework or Linq-to-SQL