Hmm.... I haven't played this in a while, but I'm pretty sure you Left Click (cock your arm back) and then Right Click. This wil give you the 5 second timer I think it is for you to throw it. Now, you could be a suicide bomber and pull the pin and run into enemies, I've seen a little bit of success doing that, although I was never good at it. I prefer doing that for throwing around corners, most people on that game have slow reflexes so it takes them a while to realize a grenade, and then half a second later they are no more.

So this baby seal walks into a club.