Does query window create a new connection?

My development environment is PostgreSQL 8.2.0 on Windows. I've just
started exploring the use of SET and SHOW to store variables that I
define via the custom class feature in postgresql.conf. The default
scope for these variables is session, according to the documentation.
If I open a query window in PgAdmin 1.8.0 beta 3 and create a variable
using SET, I can then use SHOW to display it. However, if I close that
query window and then open a new one, the variable appears to no longer
be set. Executing SHOW again produces an empty result.

Does opening the query window create a new connection? I wouldn't think
so. But if not, then why aren't the session-scoped variables retaining
their values?

Thanks.

--
Guy Rouillier