If your trying to measure a SQL query encapsualted within another transaction (e.g. SQL query initiated from client request to application server) then this is a little more tricky to do.
Mercury have just recently offered a J2EE transaction breakdown monitor which is supposed to offer such a breakdown in LoadRunner, I've played with this a little and managed to get EJB method call timings from within my J2EE server, but not as yet SQL execution timings [img]images/icons/frown.gif[/img]
If you can describe how this query is generated and a little about your environment, then perhaps we can provide a clearer answer to your question.
Have you had an opportunity to take advantage of training as yet? The reason why I ask is that all of your questions are covered extensively in all of Mercury's training courses. If your employer is asking you to pick up and use LoadRunner without scheduling you for training, then they are doing both you and your company a disservice. Considering the average purchase price of LoadRunner is most of the time in excess of the salary of the person using it, training sould seem to be a great little insurance policy to help increase the chance of success in it's (LoadRunner's) use.
Your questions are also covered extensively in the LoadRunner documentation, both printed and available online in PDF format.