If it is the correct key, you don't need to do anything with it - just having it in your inventory will allow you to open the door as if it were unlocked.
But there are many keys and many doors - it is possible you just haven't found the right key yet...
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Time is an illusion. Lunchtime doubly so.
Epona of The Laughing Hyenas
Proud winner of the 'Most Useless Post 250 Has Ever Seen' Award 2001. "I'd just like to thank my friends and family, without whom none of this would have been possible..."