The Context Window is available for XSLT debugging only (not for XQuery debugging).
When processing an XML document with an XSLT stylesheet, the location reached by the processor at any given time will always be within a certain context node. This context node is shown in the Context Window together with all its descendants. In the screenshot below, the context node at this point is the Office node.
The last two rows of the window indicate that this Office context node is the first item of a sequence of three items beings currently processed. Such a situation could arise, for instance, if an xsl:for-each instruction is being processed that selects Office elements within, say, an Organization element.
Clicking an entry in the Context Window highlights that item in the XML document. If the XML document is not currently displayed in the interface, a window for the XML document will be opened.