Volke

Best answer as chosen by Asker / Ratings
The key will be automatically placed in your item box at the start of the game. When you get to your first save room with an item box, check it and it should be inside. Note that this must be on a second round save (meaning when you cleared the game the first time, you saved over the completed file after the credits and loaded it to sart a new game).

As for where it is, it's in the narrow corridor in the room with the statue of the woman carrying water, where you got the Map of the First Floor and your first Dagger. Check the painting of the mansion down the little side corridor, which is directly opposite where you came into the room from the Mansion Main Hall. Check the picture of the mansion, which is partially covered in cloth, with the Closet Key in your inventory.