I want to create a component that allows us to have compound keyboard shortcuts associated with an arbitrary command, like the Visual Studio IDE and Microsoft Office do.
In addition to some of the answers, using an ampersand in the caption of a button, or menu item, will cause it to be underlined, and accessible by using Alt + the letter you preceded by the ampersand &.
In other words, if you have a menu item captioned &File it will display with an underline under the F and the user can trigger the menu by clicking Alt + F.