If you have an Apple Mighty Mouse
It seems that Apple ships new machines with a Mighty Mouse but that the Right mouse button (as shipped) often does the same as the Left mouse button.
Setting up the mouse buttons is simply a matter of using menu option Apple -> System Preferences -> Keyboard & Mouse
You should set the Left Button as the Primary Button and the Right Button as the Secondary Button.
If you have a mouse with only one button
You can use Control+Click to emulate a Right Click.
If you have a MacBook or MacBook Pro
From the Apple menu or the Dock, choose System Preferences. Select Keyboard & Mouse, then click the Trackpad tab and select the checkbox " Place two fingers on trackpad and click button for secondary click." Now you can hold two fingers on the trackpad and click to use the shortcut menu. If you selected the Clicking option, then right-click is enabled simply by tapping two fingers simultaneously onto the trackpad.