SQLyog supports the use of 'delimiter' statements. This is required in order to support Objects like Stored Procedures, Triggers etc. But the 'delimiter' statement need not be used in that context. It can be used anywhere.
A delimiter is a character or a sequence of characters used to separate SQL statements. The DEFAULT delimiter in SQL is the ";" (semicolon), but it can be changed using the 'delimiter' statement like
.. and now respectively the "|" character ('pipe') or the ";;" (double colon) character sequence is the delimiter.
The usage of DELIMITER statements is discussed in Stored Procedures, Functions, Triggers and Events. The important thing here is:
"delimiter ..." is (some kind of!) a statement, but it is NOT a SQL-statement.
This means that the server does not understand the 'delimiter' word. The client (SQLyog) uses delimiters to separate statements before they are sent to the server. That is how simple it is! Neither the delimiter statement nor the delimiter itself is sent to the server.