Does Linux support the short cut keys on the keyboard? does it support it when they are programmable?

I think so. I started to look at something like this for my laptop... although I never got around to installing the thing. take a look at this link; it may help you out.
http://www.linuxgazette.com/issue55/henderson.html
http://w1.894.telia.com/~u89404340/best5650/laptop.html

(on the second link refer to the section about hotkeys)

For the first time when I installed linux 7.1, I was able to use windows context menu key(key just beside right windows key) to open the gnome panel. But Now when I am trying to configure the windows keys to be used with redhat linux 8.0, I am not able to do so.
Does this require any modules to be loaded. Any kernel upgradation, etc.

Not that I know of... it has always seemed to me that gnome and kde supported those buttons... I would look at gnome's configuration first... and if nothing there then you could always get down to the nitty gritty.

from when I was playing with setting up the hotkeys it seems that there is a config file or something somewhere on the system that tells linux how to interpret the signals from the keyboard. if the system isn't configured for a specific signal then it just ignores it... but if it is then it tries to handle it as it's told to.

For example... on my laptop I have buttons on the front for playing cds... so I have the usual play, stop, ff, rew, etc. When I'm running enlightenment (this is without config'ing any hotkeys) if I hit the play button on the front of the laptop the system sees that key, is configured to recognize it somehow and the toolbar in enlightenment moves to another position on the screen... I used to be typing and my belt buckle or something would hit the play button on the front of the laptop and enlightenment would start moving itself around... let me tell you... confused the hell out of me for the longest time until I realized I was hitting that button and the system knew about it. In addition the volume up/down buttons send a signal that shows up (in bash) as a ^V or ctrl+V signal... but the system doesn't try to do anything with it... cause it doesn't know to. so it echos it the screen and is done with it...

so make a long story short... all the keys send a signal... just need to tell the system what to do with it, whether that is in gnome or some lower level in the system.

They can be made to work. It's not always straightforward. To see if your keys are already configured, use xev. See its console output for key presses. If you see things like "XF86Play" then you're fine. In this case, you need only to configure the keys to do something. This is window-manager dependent.

As for getting them working from scratch, I don't know. My MS Natural Pro is configured for me by redhat.