Any key is any of the keys on the keyboard such as the spacebar or Enter key. When a program gives the prompt "Press any key to continue," this indicates to press any of the keys on your keyboard to continue. Keep in mind that there is no computer keyboard key labeled "any key."
When you're not sure what's highlighted, we recommend using the Esc key as the any key. If a program or program option is highlighted and you press the Enter key or spacebar it may activate or execute the highlighted program or option. For example, if the computer monitor is asleep you can press the Esc key to wake it up.