The slash is the Java character escape: it means that the following character is special, and should not have it's normal meaning. In this case \" says 'insert a double quote in the string instead of terminating the string'
"A\"B\"C"
Would give you a string containing
A"B"C
There are several "special" codes in Java:
\b Backspace
\f Form feed
\n Newline
\t Tab
\r Carriage return
\" Double quote
\\ Backslash
But please, do yourself a favour and don't do it like that! Never concatenate strings to build a SQL command. It leaves you wide open to accidental or deliberate SQL Injection attack which can destroy your entire database. Use Parametrized queries instead.