When working with data connections to relational databases or other non-cube data sources, you get the option to select one or more tables from the data source in the Views in Connection dialog. Here, you may also have the option to create your own custom database query, depending on your licenses. A custom query results in a custom table which in turn can be used to set up a view in the selected connection in the same way as you would do with other database tables. Queries are written in a language that the database understands. For example, for a Microsoft SQL Server database, you would write your custom query in the Microsoft SQL Server dialect of SQL.
A custom query and the resulting table will be stored as part of the data connection, either as part of an analysis file or as a shared data connection in the library.