hi,

you also need Key.addListener(eventListener):
Actionscript Code:
var eventListener = new Object();
Key.addListener(eventListener);
eventListener.onKeyDown = function()
{
    switch (Key.getCode())
    {
        case Key.DOWN :
            trace("down");
            break;
        case Key.ENTER :
            trace("enter");
            break;
    }
};

You're you're testing in the Test Player, don't forgot to disable shortcut keys (Control menu).

Also, if this code is inside the menu, you should just use
Actionscript Code:
gotoAndStop(2);

Also, avoid using _root.