How does one create a door using .KeyDown?

The Event KeyDown is deprecated, so use the UserInputService instead

As for actually scripting the door, you would have to use a RemoteEvent to do that, as with Filtering Enabled on, other players won't see it. Basically, instructions are below;

Put a RemoteEvent in the ReplicatedStorage named DoorOpen

LocalScript

local Player = game.Players.LocalPlayer
local userinput = game:GetService("UserInputService")
local door = workspace.Door -- define the door

userinput.InputBegan:Connect(function(input,processed)
	if input.KeyCode == Enum.KeyCode.E and Player.Character and Player.Character:FindFirstChild("HumanoidRootPart") and not processed then
		if (door.Position-Player.Character.HumanoidRootPart.Position).magnitude < 20 then
			game.ReplicatedStorage:WaitForChild("DoorOpen"):FireServer()
		end
	end
end)

Script

game.ReplicatedStorage:WaitForChild("DoorOpen")
local door = workspace.Door -- define the door again

game.ReplicatedStorage.DoorOpen.OnServerEvent:Connect(function(player)
	if not open then
		-- open door
	else
		 -- close door
	end
	open = not open
end)

The reason it didn't work is that firstly, this script, by the looks of it, wouldn't work due to the fact that a LocalScript will only work if it is in the Player's PlayerGui, Backpack, Character, PlayerScripts or ReplicatedFirst. Looking at the code, I can tell that this script is probably located in the workspace, a model in which only a server script (Script) can run in.

Even if you did change this to a server script, it still wouldn't work as LocalPlayer is only accessible to the client, and even if it worked as a Local script, Filtering Enabled will stop the client from sending the door's CFrame to the Server, and in turn stop the server from replicating that to all the other clients (players), so ultimately, you will see the change, and others won't. To stop this from happening, you'd use a RemoteEvent

When scripting though, practice makes perfect, and all this will eventually make sense.