how do I set up the key?
The general opinion is that you first have to learn Morse code, and when you know the rithm of the code and you can clearly distinguish hand sended code from machine sent code, you are going to learn to sent with any key you want.
So don't bother about hooking up a key, but start with lesson 1 of the course here. Preferably specify speed 20/5 or 15/5 not the default 20/10.
When you meet any difficulties, just announce it here and you will get a reply (I think so) and plenty of help from chairphone or Ryan or BrushupCW or whoever, but that takes some time because their replies are obviously moderated by G8TMV.