You need to use either Information Design Tool or Universe Design Tool to create a connection and universe.
In WebI, you don't need to use Free Hand SQL feature. You can create a universe on top of your SQL database and create reports based on the universe.
Please check the following link for Information Design Tool:
Official Product Tutorials – SAP BusinessObjects Information Design Tool
For WebI check the link below:
Official Product Tutorials – SAP BusinessObjects Web Intelligence 4.x
You will find interactive videos and tutorials in those.
Have a nice one.