No answers so far for a simple question of a beginner... This forum wasn't easy to find since the link in the main webpage is broken. The link to documentation is broken either, won't be easy to get use from this app.
I did some experiences, it seems I have to rotate the bone I wish to animate just a little bit in the first frame, so a key frame will be created. I don't know if there is some hotkey to force creating a key without moving/rotating, but by this way will be tricky specially for beginners, though.