I almost suggested ShowOff myself -- which is a cool program meant to show on screen in a nice big font the key being pressed, and was designed for making screenscast video recordings.. It's a very useful tool for such purposes.
BUT, i think what Coeluh is asking for (correct me if wrong!) is something to help him figure out what the hotkeys or keyboard scancodes are for certain keys, so that he can use these codes in another program.