Selecting buttons without mouse but with keyboard

I am not sure if it is possible, but are you able to navigate the blue highlight to another button other than what button it is already on? I am talking about when you close a window, and say you have three buttons, one says "Don't Save" another says "Cancel" and the final one is highlighted and it says "Save." Because that button is highlighted blue, if you push enter/return that is the button it will push. I am wondering if you you can navigate that selection quickly with the keyboard over to the "Don't Save" option, for example. I know you can do this in Microsoft by using Tab, but I haven't had that success on a Mac. It may move a outlined blue over a button, but when I push enter/return it won't select it. So the question I'm asking is if there is a keyboard way of moving that selected button without using the mouse?