I dont believe MS SQL Server has this option. Sounds like Oracle is attempting to be convenient and drop any tables that are related to the table being dropped (ie. tables with foreign keys to this one).
With SQL Server, you will need to drop all the "child" tables first, then drop the table in the script. Fortunately, with SQL Enterprise Manager, you can right click on a table, choose All Tasks and select Display Dependencies to find out what tables are dependent on the table being dropped.