In XP, when you use Japanese inputing system, it always begins with English, like the picture below.

Thus, you have to often use your mouse clicking it to switch to hiragana or katakana. This is annoying.
I've just done some searching, and found the shortcut keys for this. Here they are.

Alt + Caps Lock switches to Katakana. If you use hiragana and change to English, under this situation, when you use this key, it will change back to hiragana first. Then you press the key again, and it will change to katakana.
Ctrl + Caps Lock switches to Hiragana. This key has the vise versa situation as the above key.
Alt + ~ (the key below Esc) switchs between English and Japanese. When you use this key to change English back to Japanese, the Japanese will be either hiragana or katakana, depending on which one you use right before English.

It's a little confused to explain in words. Just try those three keys for a while, and you will get it soon.

By the way, Alt + Shift is the key to switch inputing language in turn, such as Eng → JP → CH → Eng. However, in UM's library, when you change to Spanish, which is ES, this key loses its function, and you have to use mouse again. I don't know why. But it will probably work fine else where, like my computer. I use English, Chinese, and Japanese, and all these keys work well.

Finally, just one more small piece of information for you. In windows, there are many combinations of keys which can help you perform some actions or functions rapidly. For example, Ctrl + C is copy, and Ctrl + V is paste. The general term for these keys is called Shortcut Key. I guess Combination Key is also ok because I found it in the dictionary, too.

Since we... I mean you, all my friends, no me anymore, study abroad. I hope these informations can help you guys a little.