In the dialog:
"Key or Mouse Binding" is like "<Key>a" or "Shift<Key>a" or "Ctrl<Key>a" or ..., you can click "Show Bind Keys" to see many other examples.
"Command" is a SKILL expression, like "hiCloseWindow()".
If you just want add a bindkey for a menu command, you can see the command in status line (if it is short) or CDS.log after you select a menu command.