I'm confused by the previous answer. I believe that there is no collective noun for squirrels.
Some will suggest that it is dray but that is just a variant spelling of drey which is the name for a squirrels nest.
I cannot find an authoritative source for suggesting that either dray, drey or scurry is such a collective noun.
I would dearly love to know the correct answer and, to prompt this, I will post a question in the phrases and sayings category in the hope that the site expert wordsmith, Quizmonster, will pick up on it.