It's not obvious where to click if you use the mouse; the key area (pun fully intended) is displaced from the keyhole. What you do is first to get all the keys. Then give the same player all the keys, and make sure that he/she is the highlighted player. Then return to the central area (the one with the three arches), go to each pedestal, stand so that the keyhole is in front of you, and press the spacebar. Don't use the mouse. When you've done that, a door will open north of the pedestals, and the exit is beyond there.
