The Play Queue is (as the name implies) the Playlist currently in use.
Helium uses the Play Queue Playlist to play all tracks you have added to the Play Queue, from top to bottom.
When a track is being played, it is shown with a bright pink background.
All views that displays a track list or albums will allow you to queue items to the Play queue from the context menues.
You can also take advantage of drag 'n' drop to add tracks and albums to the Play Queue from most views in Helium
The Play queue can either be docked at the right pane next before the Now playing tab or as an individual view which is accessed from the Views menu.