$\Bbb Q$ inherits ist topology from $\Bbb R$. So if a set $U$ is open in $\Bbb R$, then $\Bbb Q \cap U$ is open in $\Bbb Q$, and the same thing goes for closed sets.
Now, the funny thing is that your set is both the intersection of a closed interval in $\Bbb R$ with $\Bbb Q$ (namely $[-\sqrt 2, \sqrt 2] \cap \Bbb Q$), and it's the intersection of an open interval with $\Bbb Q$ (namely $(-\sqrt 2, \sqrt 2)\cap \Bbb Q$). Thus, from the topology it ingerits from $\Bbb R$, your set is both an open set and a closed set. That is why it's a clopen set.