The value of the Key parameter is 91 (or $5B)
for the left <WIN> key, and 92 (or $5C) for the right <WIN> key.
Delphi has a message called 'CMDIALOGKEY'.

If you provide a message handler for this message, all keypresses will be
redirect to then, and inside of it you can prevent or modify the standard
behavior.

I used it some time ago to make ENTER behave like TAB, and it worked just
fine.