Are you new to AE? You create an initial keyframe by clicking on the stopwatch icon next to the property you want to animate. As you move down the timeline and alter the property's value, another keyframe is created automatically.
If you're asking questions like these, I have something that you'll find very valuable:
Thanks Dave...yes, I am inexperienced with AE.
I understand how to create keyframes but was instructed to "set keyframe interpolation icon on" when working with parameters of a plug-in. Perhaps they just meant the stopwatch icon?
I'm sorry, but those instructions are written in AE Jibberish. I have no idea what that phrase means. Now, you can change keyframe interpolation (both spatial and temporal) in a few ways, but there's no such thing as a keyframe interpolation icon.
I empathize that you're really tempted to just jump into the deep end of the AE pool, but you really do need basic AE knowledge if you want to avoid AE frustration. Just follow the first three or vour links you incounter in the link above, and you'll learn a lot about the way AE thinks, works and behaves. It's really worth it.