Where is the Query Analyzer in SQL Server Management Studio 2008 R2?
To analyze a query you already have entered into the Query editor, you need to choose "Include Actual Execution Plan" (7th toggle button to the right of the "! Execute" button). After executing the query, you need to click on the "Execution Plan" tab in the results pane at the bottom (above the results of the query).
Default locations:
Programs > Microsoft SQL Server 2008 R2 > SQL Server Management Studio for Query Analyzer.Programs > Microsoft SQL Server 2008 R2 > Performance Tools > SQL Server Profiler for profiler.
I know the question doesn't state SQL Server express, but its worth pointing out that the SQL Server Express editions don't come with the profiler (very annoying), and I suspect that they also don't come with the query analyzer.