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It took a little while for me to realize that “Run SQL Command Line” is actually SQL*Plus command line version. It connects you to database XE. I prefer the Windows graphical version of SQL*Plus (sqlplusw.exe). I tried connecting my install of PL/SQL Developer to the XE database. It did not work. PL/SQL Developer requires components not installed with Oracle XE.
In lieu of PL/SQL Developer, I downloaded and installed Oracle SQL Developer. It worked with my Oracle XE installation. But I just did not like it as much as PL/SQL Developer. I really need a tool like this to do advanced querying. So it might be time to install the Oracle client to make PL/SQL Developer working.