The easiest way I found included the following steps (the only requirement is it to be in Win7+):
- open the folder in Explorer
- select all script files
- press Shift
- right click the selection and select "Copy as path"
- go to SQL Server Management Studio
- create a new query
- Query Menu, "SQLCMD mode"
- paste the list, then Ctrl+H, replace '"C:\' (or whatever the drive letter) with ':r "C:' (i.e. prefix the lines with ':r ')
- run the query
It sounds long, but in reality is very fast.. (it sounds long as I described even the smallest steps)