As far as I'm aware, the key can be changed in most cakewalk products by using transpose functions. These can either be done by:
i) altering the key setting associated with each track (this doesn't alter the notes stored within the sequencer - it's simply applies an offset and is probably the best option when experimenting) or
ii) using the transpose function to actually change the notes stored within the sequencer.
This is a fairly simple and basic operation. Regards,