Most data source types employ queries to refine the broader data set into a smaller, more relevant subset that is specific to the kind of report you want to generate. Most commonly, Report Designer users connect to a JDBC database and use an SQL query to refine the data set. For this purpose, Report Designer has both a query window where you can type in an SQL statement by hand, and an SQL Query Designer to help less SQL-savvy users refine data with a graphical drag-and-drop interface. There is a similar utility for metadata data sources called MQL Query Builder.
Both of the query builder tools are explained below. For all other query types -- MDX, XQuery, etc. -- there are public documentation and other help resources on the Web.