EOF is a macro defined in <stdio.h>. It's not the value of a keypress, rather it's an "impossible" value returned by various input functions to signal that end-of-file was detected.
Which key corresponds to "end of file" on the keybord??
That depends on your operating system. On Windows systems the key combination is Ctrl+Z. On Unix, Linux, and Mac OSX systems, the key combination is Ctrl+D. If you're not on one of those (they're the most common around here), please specify.