To use the Windows or Start key in a keyboard shortcut, go to System > Preferences > Keyboard.
In Keyboard Preferences (window) go to Layouts (tab) and click Layout Options... (button).
In Keyboard Layout Options (window) expand Alt/Win key behavior (toggle) and select "Hyper is mapped to Win-keys". Now Custom Keyboard Shortcuts will work with the windows key.
Example: To get Windows + E to open nautilus open Keyboard Shortcuts in System > Preferences > Keyboard Shortcuts. Click Add (button). In the Custom Shortcut window enter Name: nautilus and Command: nautilus and click Apply. Lastly, select the newly created action at the bottom and press the keyboard combination: the windows key and the letter e. Type the windows key and the letter e to bring up a new nautilus window.