In a word search puzzle the key words are the words hidden in the grid. A standard puzzle can also have a key word: it is some set of circled squares that spell out an additional word or phrase. To view key words see Key Words on the Words menu.
To add a keyword to a grid select the keyword icon on the toolbar. To select a word in a word search then just click on the grid and move the mouse while holding the mouse button down; a circle will be drawn between the first square you clicked on and the current mouse position (assuming it is a straight line). For separate circled squares hold down the Ctrl key and click on the grid squares that you want to make up your key word.
When you export an interactive puzzle the key word squares will be shown separately below the grid, The color used is set in Grid Properties.
There is an option in the Key Words window whether to Circle in puzzle or Circle in solution. Word search words are circled in the solution. Usually other key words are circled in the puzzle.