These settings control which Kickstart ROM-image WinUAE will use.
Key File allows you to specify the key-file when using Cloanto's Amiga Forever ROM-images (which are encrypted).
ShapeShifter support will enable the ShapeShifter 'PrepareEmul' support, so you don't have to KickShift your ROM-images. This also allows Amiga Forever users (encrypted ROM-images can't be KickShift'ed) to use ShapeShifter.
NOTE: ShapeShifter is a Mac - emulator for the Amiga. If you didn't know that, don't use this option!
Background Information:
Orignially, the first Amiga (A1000) had a small bootstrap ROM, which contained code to load the basic operating system from a disk, known as the "Kickstart disk" into 256 kilobytes of RAM, which was then transformed into ROM by disabling the write signal to this RAM. Of course, the contents of this pseudo-ROM was lost when the computer was turned off. The point of using RAM was that Commodore wanted to be able to continue developing the operative system without requiring people to change ROMs when the new version was available; instead, they could just distribute new "Kickstart" disks, which they did three times, upgrading version 1.0 to 1.1, 1.2. Version 2.0 was too large to fit into this pseudo-ROM, and that's the reason why Amiga 1000s cannot run the modern versions of the Amiga OS.