Currently, if you open a Data Explorer query, you can't switch the site until you actually execute the query, because the site list is hidden. Please change this.
As it is, you either have to execute it and wait for SEDE to show you results you don't care about, or manually change the site name in the URL.
It also doesn't help that Stack Overflow is the default, because that site is gigantic compared to any other site in the network. Queries that work just fine on other sites time out because of that fact, and in that case, the site icons aren't even shown.
(Of course, those queries might not have a sensible limit and/or be horribly inefficient, but that's beside the point.)