Hello,
apart from what others have written you (to install pxfonts, to use \usetypescript[palatino][ec] if you are using pdfTeX and not xetex or luatex), you can also try to update ConTeXt if you know what you are doing*. Or at least a warning should be in place: the latest ConTeXt uses TeX Gyre + pxfonts exclusively, while the older ConTeXt uses URW fonts. The difference is tiny, but there is some.
Mojca
* If you don't know what you are doing, then using the version that comes with TeX Live might be safer, but you won't be able to test any improvements that might arise on your request
Thanks you all once again for your help. I installed pxfonts and the command now works great and I do get the Palatino output. I am very new to Context and this last week was mainly a kind of trial to see how I like it. So far I love what I see. Also, I think the fact that there are so many helpful people here in this forum has convinced me that if I get stuck with something, which I will, there are experts whom I could ask for help. Hence, I have decided to use it for most of my documents. Things are very busy now, and hence for the next month or so I plan to continue using the version that comes with TeXlive, but after that I will try to update and get the latest stable version. I hope that in future Context makes more fonts available. For now it seems I will be using Palatino, which is good too. Thanks again.