On a new clean install, and because SSMS is built upon Visual Studio, the default behaviour is to open a new SSMS instance when you double click on a .sql file.
To fix this, so that a each double click on a .sql file opens in a new tab, modify the following registry key:
There is only a single key which refers to the location of SSMS. Modify this to put “%1″ at the end (including the quotes)
Note: I’m running SSMS 2014