Hi Howard,
As Martin says, the proper place to put your key file is in the same folder that contains your Terragen application, which is the folder that contains tgd.exe. It looks like the path Martin has suggested is the correct one, unless you have installed it somewhere else.
Have you tried putting the key file in there? From your description it sounds you've put it everywhere except the one place it's supposed to go :-). It won't work with the free version, but if you install the Deep version you downloaded and then put the key in the same folder as the newly installed tgd.exe then it should work.
Regards,
Jo