The dungeon key screen allows you to make a key to the selected room. You can then give keys to other players to allow them access to a locked room in your dungeon or spawn a key using the spawn key action.
A spawned key can then be picked up by a player when they enter a room and used to access another area in a dungeon.
Clicking the Make button will make a new key and place it in your backpack you can then give the key to whoever you wish to give them access to that locked room.