Answers: Most fish lay eggs, which are fertilized externally, so they technically don't have "sex". However, there are livebearing species (Guppies, Mollies, Platties, Swordtails, etc., and within saltwater, some sharks and rays, etc.) which do have sex. In the freshwater livebearers, the males have gonopodia, which are modified anal fins that are hollow and capable of transmitting sperm to the womanly. As I am not nearly as familiar with the reproductive methods of the more common saltwater livebearers, I will refer you to this excerpt:
"During fertilisation one clasper is inserted into the feminine cloaca. The claspers have hooks and spines on them, helping them to stay firmly in the female. Sperm pass from the sperm sacs and goes down the clasper. Water from the muscular sacs is wash down the clasper to help the sperm move into the female. The eggs are then fertilised one at a time surrounded by the shell gland of the female shark."