The Key is made up from three separate rings from around the world, that when put together, create a key that unlocks the 1st door, out of the secret three for Apocalypse to be released.
Mesmero was tasked with gathering these things, and even mind-controlled others into helping him, they included Jean Grey and Remy LeBeau.
However, after the key is used, it reveals a Second Door that cannot be opened until a large, Mystical Arachnid that guards it is destroyed.
Ring one
Ring two
Ring three