Wow, this seems to be a common sticking point for lots of people.
The key you need is the Master Key that you find in the kitchen. Turn left from the castle entrance, through the door and into the dining room (where D'Soto's ghost first appears). The next room has the key hanging on a little hook by the door on the left.
Strange, but I thought you needed this key to get in the door on the right from the entrance foyer (with the pool in the middle). I'm pretty sure that it's the same key that opens all of those doors.
Good luck!
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