It wasn't as easy as I hoped.
I started out by downloading the source code for GDAL at http://www.gdal.org/ and tried my C++ skills.
They were not too impressive.
After failing to build the project I started googling for "ogr2ogr binaries" and found some windows binaries here.
I unpacked the zipfile, navigated to the apps folder and tried ogr2ogr.exe. Of course it didn't work. It complained that it couldn't find the gdal19.dll file.
I found that file in the bin catalogue, copied ogr2ogr.exe to the same directory and tried again.
Finally a response.
Trying out the full ogr2ogr command for my shape file and SQL Server was up next.
ogr2ogr -overwrite -f MSSQLSpatial "MSSQL:server=[my server name];database=[my database name];trusted_connection=yes" "[my shape file]"
Of course it complained of more missing files. This time it missed the gcs.csv file.
I found it in the gdal-data folder and copied all of the folders content to the bin folder and tried again and voilá! 160000 objects imported into SQL Server like magic. Pretty quick too.
Maybe I was a bit drastic in copying files like a maniac, but hey, it worked! And now I can just type
SELECT TOP 500 name, ogr_geometry FROM areas
Resulting in this in SQL Server (I love the spatial results tab):