I have installed Tortoise SVN and AnkhSVN, but neither one shows up in my SQL Server Management Studio 2005 under the Source Code Control options.
I know they work because all my Visual Studio projects are working fine.
Do I have to do install a different SVN client to integrate to SQL Server Management Studio?
There's no SVN integration for SSMS from either TortoiseSVN or AnkhSVN. The only viable option is to use RedGate SQL Source Control. Or create a Database project in Visual Studio and keep all the scripts and structure in there, forcing all the developers modify those files first.
Personally, I use ScriptDB and run it on an hourly basis with svn auto-commit of changes made to the database so that I can keep track of what's changing.