You can try with MouseDown Event.

Procedure Control.MouseDown
    LPARAMETERS nButton, nShift, nXCoord, nYCoord


    If nShift = 1
        Wait Window "SHIFT key is pressed"
    EndIf
EndProc

Take a look to MouseDown help to see another values to nShift parameter (Shift,Ctrl,Alt keys and combinations)

Good Luck!