If you had a single page with all of the scripts, you would have a page full of urls. That would lead to you wondering: What's that script SewerTrade.ash do? You might even Download it, and find that it in fact does nothing but throw an error because it is missing an additional required script which you didn't download "tradearray.ash" which contains the core logic for proposing trade offers. Sewer trade.ash uses it to simply propose a trade to me containing crappy character class starting equipment which I collect.
My Preference: Start a new window when opening a site which I may want to have a bunch of pages open at once in and use tabs for that. I use Firefox, but the newest version of Internet Explorer supports this also.