Yes, you can. As Chris says the wizards are quite straight forward to use. To just test a connection though you can use the following code - if your SQL server is on a different box you will need to change localhost to the IP of your server.
Create a new QlikView document, ignore the Excel wizard, save it, select File Menu \ Edit Script, then paste this at the bottom of the script:
OLEDB CONNECT TO [Provider=SQLOLEDB.1;Integrated Security=SSPI;Persist Security Info=False;Initial Catalog=master;Data Source=localhost;Use Procedure for Prepare=1;Auto Translate=True;Packet Size=4096;Use Encryption for Data=False;Tag with column collation when possible=False];
Finally, click the Reload button. Obviously the SQL statement can be changed to whatever you like. The connection string assumes a trusted connection, but you can replace this with any valid OLEDB connection string - or use the Connect button and wizard to have QlikView generate the connection string for you.