You're correct, in Mendix you don't use columns to join tables, but you use associations to connect entities. Take for example the following domain model:
A simple OQL query that shows all customers with their jobs would look something like this:
SELECT customer/FullName AS CustomerName,
profile/Job AS Job
FROM MyModule.Customer AS customer
INNER JOIN customer/MyModule.Customer_Profile/MyModule.Profile AS profile
See also the Mendix documentation on OQL and the Domain Model for more information.