You would put in the NX2 key and then the software will ask you for the NX key to validate that you had an existing copy. I don't think you need to have NX installed. Make sure you have the entire 5 part key. When you click on Help/About Capture NX it will only display the 1st 4 sets of the key.
You'll want to have downloaded the most recent version from Nikon's website as the CDs never have the latest.
Did you buy the upgrade package for NX2 of the full package? According to Nikon, you shouldn't be able to activate NX2 with an upgrade key. It would be a real money saver if you could use the upgrade key without 1st having the NX.
The upgrade key ONLY works under the following conditions:
You have NX installed and you unstall NX2.
You have uninstalled NX, and install NX2 and enter both the upgrade key and the NX key. If you did not own NX the upgrade key will not work. The package you download is still a full version, the only difference is the key.