I have the game for the pc (came with XBOX Gibson Xplorer) and had no problems inserting the cdkey at start of the game. As far as I know, you can play without the cdkey but not online. Even with the key, I have not played online since I'm rubbish and my wife beats me each time....
Just out of interest, there is a small utility which allows you to import your mp3's and build new tracklists for the PC version. For the canny users, you can also find GH1,2, 80's and all other previous version tracklists converted to PC format, floating around on the internet.