Well, how far along are you in the game? The first Crusade is always to capture Jerusalem. You can also tell by selecting the entity that owns potential crusade targets and going to diplomatic map mode, and if they're at war with a lot of European countries, then you can be pretty sure that that's the crusade target. Off the top of my head, the potential crusade targets are Cordoba, Alexandria, Jerusalem, Rome, and maybe Constantinople.
As for "joining" Crusades, all you have to do is declare war on the crusade target. When you annex the crusade target and surrounding provinces, you get bonuses to your piety which can be upwards of 1000 if you have the "Crusader" trait. After the target is captured, then eventually the Pope will end the crusade (this can often take several months or even more than a year and can be sped up by owning surrounding territories too).