At the bottom of your query window is a status bar with your connection information. First connect you session, then check to see what it says.

Now execute something like "[font="Courier New"]select suser_sname()[/font]", then look at the connection bar again. Did it change?

Finally, execute the same command again. Did the connection bar change? Tell us what the connection bar said in each case, and what errors/etc. occurred at each step.