Help will tell you how to set a hotkey. Basically right click a shortcut, choose Properties and look. The think to note is it MUST be on the desktop or start menu for a hotkey to work.
Screensavers are in C:\windows\system32 with the extension of scr and description of Screen Saver (and for most of them their name's start with SS). Select one, Edit menu - Copy then go to the desktop and right click a blank spot and choose Paste Shortcut.
Winkey + L is the way provided for this purpose (hiding the screen) but it doesn't show pretty pictures (well it does after 10 minutes). The downside of starting a screensaver this way is it won't ask for a password and other programs can interfere with it. Normally windows starts a second desktop and shows the screensaver there so nothing on your desktop can interfere with it (like an error dialog).
Also any program can be made a screensaver. I was using notepad the other day in an experiment. It's not very good.