As this feature is in preview (as at May 2020) you'll need to enable it, and it's not recommended for production environments. With that out of the way follow the steps at the Microsoft Docs page: Use SQL to query data (Preview)
Supported operations and data types
The list of supported SQL operations includes:
- Aggregation functions (i.e., Count() and Max() functions)
- UNIONs and JOINs
Any operation that attempts to modify data (i.e., INSERT, UPDATE) will not work as this is a read-only SQL data connection. Common Data Service option sets are represented as <OptionSet>Name and <OptionSet>Label in a result set.
The following Common Data Service datatypes are not supported with the SQL connection:
binary, image, ntext, sql_variant, varbinary, virtual, HierarchyId, managedproperty, file, xml, partylist, timestamp.