How to access context.Database.SqlQuery in Entity Framework?

The method you have described is valid for executing SQL vs a DbContext version of EF. (DbContext is used for Code First and is also available for model first but you need to do a little setup). However in your example it should be the following.

using(Entities db = new Entities())
{   
    db.Database.SqlQuery(....);
}

If you are using OOB model first (ie edmx), you are probably using an ObjectContext, in which case you will need to perform the following:

using(Entities db = new Entities())
{   
    db.ExecuteStoreQuery<ReturnType>("...");
}

See: http://blogs.microsoft.co.il/blogs/gilf/archive/2009/11/25/execute-t-sql-statements-in-entity-framework-4.aspx