Treasure Keys are very important during the Destiny 2 Bungie 30th Anniversary event. They can be used to open up treasure chests that are found in Eternity.
Getting Treasure Keys is pretty simple to do. You will need to play the Dares of Eternity activity that has been added to the game. This six-player, matchmade activity can be accessed by clicking on the Eternity node on the main map in the Director, then selecting Dares of Eternity from the options.
After that, you will need to fight through various waves of enemies and challenges until you have filled up the bar, at which point you will get to take on the final boss. For the most part, each mini-event is pretty straightforward and will require you just killing enemies. From time to time you might face a shield enemy that needs the shields stripped away with energy weapons dropped by lesser enemies. There is also a Take Blight that you need to destroy by throwing orbs at it that are dropped from killing other Taken.
By and large, it is all pretty easy to work out as you play. Once you have killed the final boss you will be able to open a chest at the end of the event that will contain a Treasure Key. After that, you can return to Eternity and speak with Xur at his Treasure Horde to use the key.