Dear Cathy,
Assuming you are using English and an English-language keyboard, this should work. But there can always be further complications with things like this. Sometimes this is caused by the ways in which some other application has redefined some keys.
To get around the problem, you should be able to go the the Window menu item in the top-level options for CLAN and then pull down to "Special Characters". There you will see options for open quote and close quote in the last four lines of the list. If you double click on the line for close quote, it will insert that character into your text. From that point, you could use cut-and-paste to insert it as needed.
Best,