Accessing Shortcut Key

Do you mean how can you assign a shortcut key to a menu item?
There is a property called ShortCut for every menu item which you can assign.

or do you mean setting the caption of a menu item to include a shortcut key?
You can set the caption to be something like &File which will display File with the F underlined just like any normal window shortcut.
Then just do the usual menu selection by pressing ALT and then all the shortcut underlined letters until you get to the item you want.

How can I access the event of a shortcut key? (When a user uses a shortcut key to access a menu item)

Take a look at the packed record structure for TWMKey to gather information as to the shortcut itself.