How do I throw grenades?

You need a skill to throw grenades, your class should have one. You can see the list of powers and what classes have them on the Wiki. You can use them like any other power, though they don't use a cooldown, they consume grenades.

These are the powers that will consume a grenade when thrown: Cluster Grenade, Frag Grenade, Lift Grenade, Sticky Grenade.

If you don't have a grenade skill/haven't learned it, you can also use your squadmate's grenade powers instead. They gain grenades to use when you do.

Grenades in Mass Effect 3 are an ability, like any other, with two key exceptions:

They are not bound by the cooldown of all other powers, and you can only use them a limited number of times without picking up more Grenades in the field.

You would use them the same way you use any other power, by bringing up the menu, or using the appropriate hotkey.