“Normally, keyboard users move the input focus from one control to another in a dialog box with the TAB and ARROW keys. However, you can define an access key (a mnemonic or easy-to-remember name) that allows users to choose a control by pressing a single key.”
For WPF dialogs you add underscore (_) in front of the letter you want as the access key for a control and you can display all mnemonics in the designer (an underline appears in the displayed caption to indicate the access key) pressing the Alt key:

WPF dialog designer in Visual Studio 2013
For Windows Forms dialogs you add ampersand (&) in front of the letter you want as the access key and the designer always shows all assigned mnemonics:

Windows Forms dialog designer in Visual Studio 2013
For native C++ .rc dialogs you add ampersand (&), but there is no way to show all assigned mnemonics. Only the Check Mnemonics command is available to check for duplicate access keys:

Check Mnemonics command for native dialog designer in Visual Studio 2013
The Show mnemonics command for Visual Commander displays all mnemonics for a native dialog in Visual Studio 2010/2012/2013 designer:

All mnemonics displayed for native dialog designer in Visual Studio 2013
You can download the Show mnemonics command as a .vcmd file and quickly import to Visual Commander. (Thanks to Sven Ritter for the original idea of activating mnemonics with a WM_UPDATEUISTATE message.)