What operating system are you working on and which version of the software are you using?
There is no Chroma Key, Green Screen Key or Blue Screen Key effect in the Mac version of Premiere Elements 10 or 11.
I will be watching for your answers to SG's questions.
I am strictly an Elements Windows user, but not so long ago I got interested in the Premiere Elements Mac no Green Screen Key, Blue Screen Key, or Chroma Key situation. And, since I do not have a Mac computer, I looked at this situation from the perspective of Premiere Elements Windows IF it did not have this 3 features. If you are a Premiere Elements 11 Mac user, please check out my suggestion for the Difference Matte as an alternative for these 3 keying effect in version 11. The party line appears to be use Videomerge Effect as the substitute, but the Difference Matte may work for you also in this regard.
That blog post cited gives details for this situation for Premiere Elements 10 Mac as well as Premiere Elements 11 Mac.
I vote Videomerge. It's designed, after all, to be an easy alternative to Chroma Key, etc.