In SQL Server, I use:
use database_name
Go
Select * from table_name
In postgreSQL, I still use:
\\connect database_name
Technically PostgreSQL can't switch databases. You must disconnect and reconnect to the new DB.
The psql command-line client will do this for you with the \connect command, shortcut \c. But these are not commands processed by the PostgreSQL server, they're client commands. Different clients won't understand or support them.
At a guess you're using PgAdmin-III, in which case use the pulldown menu in the query tool to switch databases.
Some day I'd like to extract psql's backslash-commands code into a library that things like PgAdmin could link to and use too.