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