You're getting two different things mixed up:

1. The SQL puts the options in the database tables that show up under admin->configuration->google xml sitemap - from what you've said, you've run the SQL successfully via phpMyAdmin.

If the 'Google Sitemap XML' link appears under admin->configuration, then forget the SQL now, that's done.

2. IIRC, the sitemap link in the tools menu is generated from the files being in the correct folders on your server - make sure you have all the files from the mod in the correct folders, especially admin/includes/boxes/extra_boxes/googlesitemap_tools_dhtml.php.