Try something like this.  Note the use of evalinsert, panelbox, hlistbox, etc.  Look them up in the scripting index for more information.
importDataPress = Function( {parameter_value}, 
	sql_statement = evalinsert(
"SELECT * FROM DATABASE WHERE parameter = '^parameter_value^'");
	show(sql_statement);
// This function is called when the button is pressed
    name = New SQL Query(
        Connection( "ODBC:DSN=DATABASE;PWD=XXX;" ),
        QueryName( "my_table" ),
        CustomSQL( sql_statement )
    ) << Run;
);
nw = new window("Example Input for SQL",
	panelbox("Parameter Specification",
		hlistbox(
			text box("Enter value for parameter: "),
			teb = text edit box("", << set width(200)),
		),
	),
	panelbox("Actions",
		hlistbox(
			button box("Cancel", nw << close window),
			button box("OK",
				pvalue = teb << get text;
				if (pvalue == "",
					ew = new window("Error", << modal,
						text box("Nothing specified")
					);
					,
					// else import the data
					importdatapress(pvalue);
					nw << close window;
				);
			),
		),
	),
);