If you have an Apple Mighty Mouse, the ability to right-click is a bit "secret". By default, the whole mouse surface acts like a left-click ("Primary button" in Apple's parlance). However, in the System Preferences, you can configure it to enable right-clicks ("Secondary button").
If you have a laptop with a trackpad, I believe there's an option to simulate a right-click by putting two fingers on the pad and clicking the button.
If you only have a one-button mouse or don't like the above, CrossOver does allow you to use control-click to simulate right-click. Because some Windows programs make a distinction between control-click and right-click, this is off by default. In CrossOver's preferences, on the Keyboard and Mouse tab, check the "Enable keyboard modifiers for mouse buttons" setting.