TeX offers excellent ways to handle bibliographic references. bibTeX allows you to use a database to manage your references and to insert citations and a list of references into your document. If you're completely new to this subject, you should probably begin to read some basic hints about bibTeX databases. You will find a good selection of resources (most of them are free and available on-line) at the section "Bibliographies and Citations" of the [UK TeX faq]. A good place for beginners is Nicolas Markey’s [Tame the Beast]. If you have TeXLive installed, it may already be on your hard disk.
In traditional ConTeXt mkii, support for bibliographies was added by Taco. A wiki page explains a few basic facts and points you to the manual of the module.
ConTeXt mkiv has support for bibliographies integrated into its core (for the curious: the files are named bibl-tra.... There is a wiki page for mkiv support.