Since the Entity Framework supports multiple backends (unlike Linq-to-SQL, which is only SQL Server), you cannot really get the actual SQL query sent to the server server from EF.
To really understand what is going on, I would recommend running SQL Profiler on the SQL Server backend and see what queries will be sent to it.
See the article article about Simple-Talk and maybe this video series , becoming a SQL Profiler wizard if you are not familiar with the SQL Profiler tool.
Mark
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