Okay dokey.. so go your code behind. You'll notice the tab where the file's name is in the top left? Right under that tab are two drop down boxes. The left one is your control list, and the right one is all possible events that you can attach to that control.
Say you have a textbox.. you can drag the left box down to the textbox name and then the right one you can drag down to the 'key down' event.
VS should create the event handler method and you are off the races. This method is called every time that control's keypress is triggered. You can examine what was pressed by the 'keyeventargs' object (typcially called 'e').
If you are not familiar with this whole events concept then I woudl highly suggest stopping and looking up tutorials here and on MSDN.