If your theme doesn’t have a comments-popup.php file, go get it from the default or classic theme. Customize it like you would any other template, with css and (x)html.
As a side note: no-right click scripts are more annoying than useful, especially in firefox…especially if asking for help in a public forum and people need to be able to view the source of your page.
So i put all the css in comments-popup.php? Just random places or just at the top or the bottom?
Put the css in the style.css, if necessary, add appropriate <div> tags in the comments-popup.php file to handle extra layout/styles if necessary.