This application lets you assign commands to different hotkeys combinations, switch to windows created by these commands. For example, assign KMail to Ctrl+Alt+M and instead of looking for KMail on the taskbar, running it from the menu or pressing Alt+F2 and typing 'kmail', having two or more Kmail's running, simply keep pressing Ctrl+Alt+M all the time and KHotKeys will take care of it.
Use Settings -> Keys -> KHotKeys to configure your short cuts. Then start KHotKeys with System -> KHotKeys. The online help explains everything in detail.
If you want to use KHotKeys every KDE session, you can start it from /opt/kde/bin/startkde or add an icon to your Autostart folder.