To use a key, you need to grab it from your inventory scroll, so that your mouse pointer now turns into the key (to show that you are holding it). Then face the lock (most doors in the early game have a lock on the wall next to them, i.e. if you are facing the door, turn left or right and look at the wall, there should be keyhole there). When mousing over the keyhole, the pointer should change to a picture of a hand holding a key, indicating that you can turn the key in the lock. If you click, you should hear a noise. If it's the right key for the lock, you will hear a satisfactory clack sound indicating it's been unlocked. If it's the wrong key, you will hear a rather unsatisfactory clicking sound, which means nothing happened because the key didn't fit.
If you don't see a keyhole next to the door, it means you can't open that door from that side (they keyhole is probably on the other side). Also remember that there are many keys in the game and the brass key won't open all the doors, but it should open some of them.
Hope that helps!

Waltorious gave a great answer and a step by step how to use the key. Well done! :o)

You should also be aware that just because a key may have unlocked a door, it will not automatically ooen. This is different from most push buttons that reveal hidden paths, or the gates that drop down into the floor.