In SSMS for 2008 the windows menu listing of open files is inconsistent.
When only windows that have previously been saved to a file are opened the Window menus lists as follows:
File Name - Connection (Username(spid)) - This is perfect since the file name is at the front and it's easy to identify a window
However, when an unsaved window is open (typically named SQLQueryX.sql) along with these saved windows the Window menu lists as follows:
File Name - Connection (Username(spid)) - Only for the first (active) window
C:\...\Connection (Username(spid)) - For remaining windows - this is annoying since we can't easily identify the windows by file name