You have built a CREATE TRIGGER statement. So to create the trigger you will need to execute the CREATE TRIGGER statement and possible other helper statements' on the same tab – for instance by clicking the '>>' icon.
Building a string (and s SQL statement is just a string) client-side does not change anything server-side. Only when the client sends the statement the server will execute it. Also if you write a SELECT statement it will need to be executed (typing in the client does nothing – except building a string). It is exactly the same.