Are you talking about the first door where you find a key on the dead goblin shaman?

If the key is in your inventory then it should work.

Can't mind-read. Which game?

"Very beginning" and natural caverns are the clues that represent Oblivion.

I know, but people asking for help should provide enough information to help others to help them. The name of the game is a minimum requirement. "Doors won't open, although I have a key or lockpicks" is only slightly more enlightening. Is it really more than one door ("doorS"), which door(s), any additional information? For example: Very early in the beginning of the tutorial you get to a door which you can't open, whatever you do, because you don't have the right key. But there is a different exit of this room, which takes you to a cellar or cavern, where you can find lockpicks, and, from a dead Goblin Shaman, an iron key. This key doesn't open the first door, but when you explore the cavern, you get to a second door which you can open with the iron key. Is this one of the doors Stavrius1986 can't open? Does he have the iron key in the first place? Or is Stavrius1986 still desperately trying to open the first door? Or has he managed to get through the second door and is stuck at yet another door?
In the first case, the solution is to tell him to use the SPACE key (which he could find out himself by checking the options). In the second case, the solution is to tell him that it's impossible to open the door. Etc.
I'm trying to help, but I can't mind-read, and I don't want to play guessing-games.

sorry, I assumed it was iv: oblivion. now I see it includes the whole series.

I couldn't open any door at all, yet I wrote "wood door to natural caverns" which was the message that showed up. space key alone didn't work, but after many tries, "ctrl + space" did work.

anyway, it's solved.. this thread can be closed/deleted.

Good to hear, and have fun with Oblivion!
For the future: If you don't know how to do things, always try options->controls.