What is this door? I assume I need a key, but have no idea how to find or make one. What do I need to do?
Well, I don't want to spoil too much (because I'm not sure if you want me to), but you can open it after defeating a certain boss. Judging by your current armour (it's very hard to tell from the screenshot, but it looks like Platinum), you're still miles away from it, so don't worry about it for the time being.
Why not making Meteor Gear and then slaying bosses? With that you will be able to advance quicker.
Make sure you're smashing shadow orbs/crimson hearts between midnight and dawn, when they have a %50 chance of immediately summon a meteorite. By this method you can spam meteorites and can get enaugh for making stuff(Meteor Armor+Space Gun+Meteor Hamaxe(optional))