Isaac,
The ANOVA is the correct test, but this is only going to tell you if there is a difference in mean values across your three groups. Generally, what we are interested in, is what is the difference between the groups themselves. To do this properly you run an ANOVA and then correct the p-values for multiple comparisons. The correction can be done a variety of ways, but the most common is the bonferroni or the sidak. In addition, you usually want a summary of the mean values between groups. Here is the command for these.
oneway continuousvariable catvariable, bonferroni tab
The readout will then give you a table of the means, an analysis for the overall difference, and then finally the total difference and the p-values for each comparison. If you would prefer the sidak correction over the bonferroni just replace bonferroni with sidak. Let me know if you have any other problems.
Michael