As Windows 7 introduced a new feature called "Jump Lists," right-clicking on the icon of an open window will show this list. If you want to see the "control menu"* instead, hold the Shift key and right-click the icon.
If you want to permanently change this new behavior, try 7 Taskbar Tweaker. It can make regular right-clicks bring up the control menu, as well as change many other features of the Windows 7 taskbar.
* A control menu is a menu that enables you to manipulate a window frame, providing options such as Maximize, Restore, Minimize, Move and Size.