When you enter the first arena from the main hub (The door with the Red "I" symbol on it) you will be tasked with finding 11 Keys. Two of these are the Red and Blue Gem Keys, so that leaves 9 that we'll need to find (refer to the Red and Blue Gem Key Achievements for their solutions/videos). Once you find a Key, you will see a cutscene of where you'll need to go next to find the next Key. Below is a video I made showing how to get to and find all 9 Keys.