Perhaps you could take a look at this page:
http://www.sudoku.com/howtouse.htmIn the illustrations, do you see the word "File" on the menu bar? That's the word you click on (but not in the illustration, of course do it in the copy of the Sudoku program which you should already have installed on your computer) and when the File menu opens up, you will see the words "Enter Key" on the list. Click on Enter Key, and you will be given a dialog box with Name and Key fields. You enter the Name and Key into those fields.
If you have further questions, you could email me (using the email button below) and I will talk you through the problem.
- Wayne