No, with shared hosting you can't use Management Studio to connect to the live database.
I used their Web Query Analyser - I opened the SQL script, copied all the text and pasted it into the Query Analyser. Then clicked submit (or OK or Run or whatever it is, I'm not in front of it now)..
What didn't work was using their "browse" button to load the file - but the above method worked with no errors.
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