The "Context Menu" is a series of buttons (called "menu") that can be used to execute specific tasks in the object that has been clicked. The available options dynamically change, depending on which kind of object is clicked.
The following are the menus that you may find while working on a standard CKFinder installation.
It appears when clicking in a folder in the Folders Pane with the mouse right button:
It appears when clicking in a file in the Files Pane with the mouse right button:
It appears when clicking in the Files Pane, but outside a file (in the background) with the mouse right button: