The context menu is the right-click menu. (Control-click on a Mac.) JBidwatcher uses it in many places. Try, for example, pulling up the context menu on the tab names themselves.
All features on auctions that are in the right-click menu are also available from the 'Auction' menu, and operate on selected listings in the current tab. Actions available on tabs are in the 'Tab' menu, and operate on the currently visible tab.