The drop-down list in the screen shown below contains the names of the data sources that you have defined so far.

 
To define a new query, you should first select a data source connection (from the list next to 'choose source') on which to perform the query.

Click on the New Query    Icon to define the settings of a new query or the Properties   Icon to edit or view the settings of an existing query. A step by step guide on defining queries can be found here.