I'm not sure how to right click - I've not played with the viewer on the N900 much yet.

Copying files won't work - that's not a standard VNC feature (various VNC versions support it, but mostly in differing ways).

The square should indicate where the local cursor position is, with the pointer indicating where the remote cursor position is. The remote cursor display can lag the local cursor on slow links, but you should be able to assume it's at the local cursor position for any interaction purposes (i.e. if you click on something then it'll take action at the local cursor position, not the currently displayed remote cursor position).