Contexts are used by Web Intelligence to create meaningful SQL statements to ensure integrity of the data is not violated (e.g. avoid incorrect row based multiplications).
Broadly speaking, Query Contexts enable universe designers to specify paths that logically relate database tables together. You really do not have to be too concerned with Query Contexts other than the fact that sometimes users will be prompted to select a Query Context (names for Contexts are defined in the universe).
This session describes the use of Query Contexts (which are defined in the universe) to retrieve data when queries are refreshed.