Underneath your skills/spells, you have a number of buttons: pass, spells, etc...

Lets say you want to hotkey a spell.

Click on [Spells].  Find the spell you want.  Click on the star to the right of the spell name.  Click on the slot where you want it to go.

I feel stupid typing this, so excuse me if it's obvious.  If you want to hotkey a skill, click on [Skills], and if you want to hotkey an item, click on [Items]

Note that if the spell/skill/item that you're looking at is already hotkey'd, instead of a star, there will be a circle with a number in it.