Can't select a hotkey

I’m trying to create my first macro and I want it to activate/deactivate when I press down my arrows, but when I try to type in my hotkey nothing happens.

I’m clicking the button and it says “Type” but nothing happens when I press any keyboard.

See the Troubleshooting page, Not Being Able To Enter a Hot Key question or perhaps the Secure Input Mode question.

Either way there is likely a yellow warning triangle in the bottom right corner of the Keyboard Maestro editor window explaining what the problem is.