As far as I know this is not possible for feature classes, which ArcCatalog displays. Feature classes exist in ArcCatlog independent of all layers and have no query bulding capabilities. Desktop never displays a feaure class directly like ArcCatalog does and always display feature classes as feature layers only. Only feature layers have query builder functionality. I think this would only be possible within ArcCatalog through a saved layer file created by Desktop.
So similiar in an ArcMap session where you add feature classes in your table of conents and you have the option to build a query to filter features (or records if it's a table). Same functionality would be nice in (ArcCatalog within the Preview tab).
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