A key column is the column(s) that the index is created on, the non-key column are included columns
CREATE NONCLUSTERED INDEX idx1 ON Table1 (Col1, Col2) INCLUDE (Col3, Col4)
In the above example, Col1 and Col2 are key columns, Col3 and Col4 are non-key columns
CREATE CLUSTERED INDEX cidx ON Table1 (Col1)
In the above example Col1 is the key column, and all other columns in the table are classed as non-key columns, as the clustered index is the table.