A Query is a filter. It allows you to stipulate what information should be included or excluded from the report.
Select a Previously Saved Query - ALT-S - If you have created queries previously and chosen to save the query, this will open the list and you may select from it.
Create a New Query - ALT-C - starts from scratch, letting you define the filter(s). (see How To Use Queries)
Do Not Apply a Query - ALT-D - skips creation of or selection of a Query and runs the report in full without filters.
Cancel Without Continuing - ALT-W - stops the report from running.