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You must click on your country "flag" in the upper left corner. The box will then display your rank, number of VPs, king's abilities...and on the right the symbol of your religion. Click on this symbol and you'll be able to access to the religion control box.
Also, the map will then display the provinces and countries religions (grey for catholics, black for protestant,etc...) which is quite convenient.
 
Quite necessary to have that screen for a good game of EU, yes :D

U can also click on other such relgion shields to access it but the one laurent mentioned I'd say is the most common one.