In order to create a custom key shortcut in KDE (I am currently using 4.4.5) you should do the following:

1. Visit System Settings
2. Select Input Actions under Computer Administration
3. Right-click on Preset Actions and follow the path
   1. New
   2. Global Shortcut
   3. Command / Url

Having done so you should see something like

Your new action has been created and what you have to do now is define the Comment, Trigger and Action. The Comment tab on the right is used to add some description on what this preset does on anything else you would like to keep a note of. The Trigger tab helps you define the actuall shortcut for your action (combination of keyboard keys you would like to trigger your command). Finally the Action tab is what you would like to be executed when you press the key combination you defined.