or something similar..(can't remember what the oracle equiv is off-hand).
(Showplan is sybase)
Basically with a showplan, you give the database a query and then it tells you how it's going about getting the data (rather than actually going and getting the data).
This will determine if the problem is in the SQL query itself (ie: on the server) or in the transport mechanism (ie: the ODBC call).
I susppose that MS-SQL doesn't have an ISQL interface?