Yes, you can.  Where it goes depends on what you're trying to do.

If you want to just work with a field that's in your tables, you can use a SQL Expression.  If you want a whole Select statement, in the Database Expert you may be able to use "Add Command".  This is available for some databases (Client/Server databases like MS SQL, Oracle, etc. but not file-based dbs like Access...) as the first option below the connection (above the tables) after you connect to the database.  However, you can't use BOTH SQL Expressions and Add Command in the same report.