To take the small brass key with you somewhere, you will first need to first "take" Hamlet from the shelf, and then "take" the key from inside of Hamlet. Type "take Hamlet from Shakespeare's Tragedies" and hit enter. Then type "take small brass key from Hamlet". You will be able to find the key then in your "inventory". Type "inventory" or "inv" to see what you are carrying with you.

Do remember to "put" everything back when you have finished!