If you are using a dialog, then you can put '&' into the text for some controls (buttons, checkboxes, radio buttons, etc) and this will cause Alt plus the next character in the text to be used as an accelerator/shortcut. i.e. "&Open" would activate the Open button if you press Alt+O. "Op&en" would activate if for Alt+e.
Beyond that, as Jason Irwin said, you need to add an event handler to your Form for KeyDown or KeyPress events, and then check if the keypress is the key combination you are interested in. This will only work if the user activates your form (clicks in it to give it the input focus. If they put it behind another window, it will not react to the key presses)
If you don't want to show a form, or want to react to keypresses when you're not the input-focus application, then it gets a bit more complicated (you either need to use a hidden form or a keyboard hook)
edit
OK, it looks like you want a keyboard hook. This looks like a good article.