The most common method of including javascript on every page would be to package it inside of your skin.  If you don't want to or can't change the skin, you could also upload it with the file manager, and then use a Text/HTML module that is shown on every page to include the script.  What is your scenario that you have a script that you want on all pages?  Does it automatically do something, or are you calling it from one of your own modules?

If you have the latest version of DNN and just need to verify your site for google website tools you can add the verification code in the  verification field in the site marketing section on the site settings page under the admin menu.

If you are wanting to add something like the code for the google analytics there is a module available for free (saw some postings about it today) that lets you add the code or you can just add a text/html module switch to the source view paste in your js. From the settings section turn off the display container and tick the field to display module on all pages