コマンドを実行させるときは、コマンド行にカーソルを持って行った状態でShift key と Enter key を同時に押す。

G=Plot3D[{Sqrt[x^2+y^2]},{x,-2,2},{y,-2,2},PlotRange->{0,2},BoxRatios->{4,4,2},Axes->None,Boxed->False,ClippingStyle->None,PlotStyle->Opacity[0.7]]

Circ=ParametricPlot3D[{{ Cos[theta], Sin[theta],0},{theta,0,2Pi},{ Cos[theta], Sin[theta],1}},{theta,0,2Pi},Boxed->False,Axes->None]

Ax=Graphics3D[{Arrow[{{0,0,0},{0,0,2}}],Arrow[{{-2,0,0},{2,0,0}}],Arrow[{{0,-2,0},{0,2,0}}],Style[{Text[x,{2.1,0,0}],Text[y,{0,2.1,0}],Text[z,{0,0,2.1}]},Large]},Boxed->False,Axes->False]

L=Graphics3D[{Line[{{0,0,0},{2,2,0}}],Line[{{1/Sqrt[2],1/Sqrt[2],0},{1/Sqrt[2],1/Sqrt[2],1}}],Style[Line[{{0,0,0},{2,2,2Sqrt[2]}}],Blue,Thick]},Boxed->False,Axes->False]

Show[G,Ax,Circ,L]