When Anime Studio is first opened, the Timeline is set to frame 0. At frame 0, you can set the default state for all objects on the current layer. If you want to set a key for the current selection, you first need to move the time slider to a frame other than frame 0. Once a new frame is selected, you simply need to change the current state and a key for the corresponding channel is automatically set.
The Timeline palette only shows the keys for the current layer. If another layer is selected, a different set of keys will be visible.
Another way to set a keyframe is to right-click in the Timeline palette at the intersection of the channel and frame where you want to place a key and then select Add Keyframe from the pop-up ...