IRRC the gold key opens a chest, and the sapphire one is for a cupboard in the Academy... If you are where I think you are, it is a silver key you need, but there should have been an imp corpse (or perhaps several) in the room... When you light the candle, the imp body or bodies should dissolve into skeletons, and one of the skulls should contain a silver key to open the storeroom.
Take a look at
the Gamebanshee map and walkthrough here (locations numbered 10 and 11)... Hope it will help! <img src="/ubbthreads/images/graemlins/wave.gif" alt="" />