You turn the key counter clockwise until it stops, that turns on the gas to the fireplace.
Sometimes you just turn the switch on and the fireplace comes on.
Sometimes the fireplace has a pilot light that has to be lit first - which is pretty easy if you've lit pilots before. If you call the gas company they will come do it for you for free.
If you want to do it yourself, find a panel that opens, maybe a grille along the bottom, front of the fireplace. There's a big boxy metal thing in there with pipe, tubes, a knob, maybe a button. Actually, if it's a fairly new gas fireplace there are lighting instructions printed inside there. Typically, you turn the knob to where it says pilot, press and hold it and press the button with the * on it, you should be able to see or hear the pilot burning. Hold the button down for half a minute while the thermocouple heats up. If the pilot goes out when you let go you either didn't hold it long enough or the thermocouple is bad. If you can let go and keep the pilot lit then turn the knob to 'on'. Flip the switch and you get fire.