Get off the landing pad. On the left is a yellow light. Shooting it opens a secret room, right over the landing pad.

Leaving the landing pad room you go past a cage with goodies - and some unpleasant company. Kill the inhabitants, and get to the back of the cage. Shoot this grate and enter.

Up the first lift in the lava room, down the stairs. Underneath the stairs is a Thunderbolt. Go trough a lot of trouble, and the bars in front of this door will be drawn. Shoot or axe the door, get the Thunderbolt. See if you can find your way out again.

Leaving #3, you will have a encounter with the Blue Key Guardian. When you finish shooting it, you will probably have hit the wall behind it as well. There is a slipgate to the roof. Pick up the good stuff - and look carefully, before you jump down again.

Peep over the edge, when you can see the gold key. Shoot the button. A goodie room opens behind you.