Getting TEntity type in logging

Put up some code for what you have so far. It's not clear from the example procedure given it wasn't an extension method. On a guess if you want an extension method that runs against a DbSet<TEntity>...

public static class DbSetExtensions
{
   public static DbSqlQuery<TEntity> SqlQuery<TEntity>(this DbSet<TEntity> dbSet, string sql, params object[] parameters) where TEntity : class
   {
      // Do stuff with dbSet...
      Logger.Instance.Write(string.Replace("Entity \"{0}\" executed the command...", typeof(TEntity).Name));
   }
}

calling code would be something like:

using( var context = new myDbContext())
{
   var query = context.Orders.SqlQuery(sql);
   // ...
   var results = query.ToList();
}

As a static method, to access a logger you'd need to resolve it as either a static class or static Singleton. Alternatively, to just extract the name of a DbSet for use in a non-static repository method or the like:

public static class DbSetExtensions
{
   public static string EntityName<TEntity>(this DbSet<TEntity> dbSet) where TEntity : class
   {
      return typeof(TEntity).Name;
   }
}

Though without code it's a bit difficult to guess at how you intended that SqlQuery method to work...