$server = "SQLCON-TEST02"
$database = "AdventureWorks"
$tablequery = "SELECT name from sys.tables"

#Delcare Connection Variables
$connectionTemplate = "Data Source={0};Integrated Security=SSPI;Initial Catalog={1};"
$connectionString = [string]::Format($connectionTemplate, $server, $database)
$connection = New-Object System.Data.SqlClient.SqlConnection
$connection.ConnectionString = $connectionString

$command = New-Object System.Data.SqlClient.SqlCommand
$command.CommandText = $tablequery
$command.Connection = $connection

#Load up the Tables in a dataset
$SqlAdapter = New-Object System.Data.SqlClient.SqlDataAdapter
$SqlAdapter.SelectCommand = $command
$DataSet = New-Object System.Data.DataSet
$SqlAdapter.Fill($DataSet)
$connection.Close()
# Loop through all tables and export a CSV of the Table Data
foreach ($Row in $DataSet.Tables[0].Rows)
{
$queryData = "SELECT * FROM [$($Row[0])]"

#Specify the output location of your dump file
$extractFile = "E:\PROJECTS\$($Row[0]).csv"

$command.CommandText = $queryData
$command.Connection = $connection

$SqlAdapter = New-Object System.Data.SqlClient.SqlDataAdapter
$SqlAdapter.SelectCommand = $command
$DataSet = New-Object System.Data.DataSet
$SqlAdapter.Fill($DataSet)
$connection.Close()

$DataSet.Tables[0] | Export-Csv $extractFile -NoTypeInformation
}

#####################################################################

Run PowerShell
To run PowerShell from SQL Server Management Studio
Open Object Explorer.
Navigate to the node for the object to be worked on.
Right-click the object and select Start PowerShell.