The Windows menu of the Tabbed Scripting Editor introduced in 3ds Max 2008 contains commands for switching between multiple opened files, closing and saving all and switching to any of the opened files directly.
Previous (SHIFT+F6) - Switched the focus to the previous file.
Next (F6) - Switched the focus to the next file.
Close All-Closes all opened files. If any of the files requires saving, you will be prompted to confirm the saving before closing or close without saving for each of them.
Save All-Saves all opened files that require saving.
List of opened files - Provides a list of all files currently in the editor.
You can also access them using the number keys from 1 to 0 while in the menu.
Files that need saving will display a * next to the name.
The current file will have a checkmark in front of its name.