[Lordzy]

mysql_query - It's a non threaded MySQL query, in case if you want to get the result in middle of execution, you can use non-threaded mysql_query function.
mysql_tquery - It works like mysql_query but it's more extended, it's multi-threaded and will send the query details to it's callback mentioned.
mysql_function_query - Same as mysql_tquery.

It's better to use mysql_tquery than mysql_query because the latter one is not multi-threaded and can cause lag to SA-MP server if overused.

mysql_pquery - It's mentioned on releases that it sends out parallel queries, I haven't ever tried this function though.