From the Super Mario Wiki
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The Map Key is a special golden key used in Donkey Kong Country Returns and Donkey Kong Country Returns 3D. One level in each of the eight worlds in the game contains a locked path which can be seen on the map screen as a lock with a golden chain. A map key is required to unlock the path for the level to be accessible for Donkey Kong and Diddy Kong after they have completed the previous one.
A Map Key can be purchased at Cranky Kong's Shop in each world for twenty Banana Coins (ten Banana Coins in New Mode of the 3DS version). Once bought and immediately after the Kongs exit the shop, the key unlocks the path that the Kongs are unable to access after finishing the previous level on the World's map screen. Unlocking the path can also provide a shortcut leading to another level and the world's boss without completing all the levels for each world.