In order to get the Underwater Key to access the Underwater Room on Club Penguin you need to be a member.
Play the Black Puffle level.
On the first level get the Black Puffle. Stay on that slab of rock for a few seconds.
A large squid will appear. Follow it, getting the air bubbles as needed.
It will eventually lead you to a secret entrance. You will then get the key.
Now that you can the key you can now go through the door at the Underwater Lake.
Congratulations! You can now access the members only Underwater Room.