You will encounter many locked doors on your journey. To open one, simply find and use the appropriate key.
When you examine a door, you will be given a hint about the required key. Be sure to search thoroughly for any keys you may need.
Once you have a key, stand in front of a door and press the START button to call up the statue screen. There, highlight a key and press the X button to open up the command list.
From this list, choose USE and confirm with the X button to use the selected key. If you have chosen the correct key, your character will unlock the door.