How do I "tab" like I used to in windows?

On windows, I used to use the 'tab' button to quickly switch between dialog based options as it's more convenient than the mouse click. I'm using Snow Leopard and I'm fairly new to apple based products in general.

Perfect prime example is when I go to turn off the computer via the hot keys >
Control+ Eject

But I want to be able to switch between the options without having to use the mouse, and I swear I've tried using all the buttons possible on the keyboard, nothing seemed to switch them.

On my MBP, the tab key tabs just as I would expect. On my MBP, the tab key is on the left, above the caps lock key. On my iMac with the larger aluminum keyboard, the tab key is in the same place.

EDIT: I just tried your Control+Eject, then tabbed to Cancel. I had to then press Space to get the highlight to shift there and to cancel the action. So, it looks like tab, then space when on the option you want should work.

Try System Preferences > Keyboard > Keyboard Shortcuts > Full Keyboard Access > All Controls.

Thank you VERY VERY much vansmith, that was the solution right there. I swear I was going to go nuts trying to figure this out lol.

All is perfect now!

But just as MacInWin said, be sure to hit the space bar in order to confirm the selection rather than hitting the Return key.

Doug