You can step into the DAO class in the debugger and step OVER the method call which creates the IRetrievalQuery object. When you step OVER that line, you can examine the query in the locals window in the debugger, click open the selectQuery object and browse to the _command object which contains a commandText property.
If you're using VB.NET, this is not visible to you because the VB.NET IDE team thought it wouldn't be interesting, so you then have to do in the intermediate window:
?(CType(selectQuery, RetrievalQuery).ToString())