You get to this window by choosing 'Interactive SQL' from the 'Options' pop-up menu in certain Transport Module windows.
This window uses the connection to the chosen database and not to just the table. You can also create and drop tables etc.
Enter any valid SQL in the text area and click the arrow button to execute it. If the SQL returns a result it will be shown in a Preview window.
The 'Log' button shows the Log window. Any SQL errors and some database responses will be written to this window.
The clear button empties the SQL text area.