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Almost all of the keyboard shortcuts you've learned on Windows are the same on the Mac. The difference is which modifier key you use to invoke them.

On Windows, shortcuts are typically invoked with the Ctrl modifier key.

On the Mac, you use the key, also known as the "command" key. It's in the same physical position as the Alt key on a Windows keyboard, but is nothing like the Alt key.

The Mac has its own Alt key, labeled Opt/Alt. Its primary use is a secondary modifier for keystrokes. Command-Option-S might be "Save As", for example, while Command-S is regular "Save".

The Ctrl key is there on a Mac keyboard, too, but it's hardly ever used for anything.

The relative layouts look something like this:

     PC:     Ctrl Windows Alt

     Mac:   Ctrl Opt/Alt

The problem is that you're most likely using a PC keyboard on your Mac. In that specific case, the Opt/Alt and keys are reversed. You can change this in System Preferences, under Keyboard. Truly a huge pain in the rear for switchers. That layout looks like this, instead:

     PC keyboard on Mac:   Ctrl Opt/Alt

Apple's website has some pretty good hints and tips for Windows switchers. Start here for answers to your specific question about keyboard shortcuts. Then go here and read everything!

One option would be to download changeInput and assign shortcuts to shell commands like changeInput U.S..

You could also use KeyRemap4MacBook:

<?xml version="1.0"?>
<root>
  <vkchangeinputsourcedef>
    <name>KeyCode::VK_CHANGE_INPUTSOURCE_HIRAGANA</name>
    <inputsourceid_equal>com.apple.inputmethod.Kotoeri.Japanese</inputsourceid_equal>
  </vkchangeinputsourcedef>
  <vkchangeinputsourcedef>
    <name>KeyCode::VK_CHANGE_INPUTSOURCE_KATAKANA</name>
    <inputsourceid_equal>com.apple.inputmethod.Kotoeri.Japanese.Katakana</inputsourceid_equal>
  </vkchangeinputsourcedef>
  <item>
    <name>change_inputsources</name>
    <identifier>change_inputsources</identifier>
    <autogen>__KeyToKey__ KeyCode::E, VK_CONTROL | VK_OPTION | VK_COMMAND | ModifierFlag::NONE, KeyCode::VK_CHANGE_INPUTSOURCE_ENGLISH</autogen>
    <autogen>__KeyToKey__ KeyCode::H, VK_CONTROL | VK_OPTION | VK_COMMAND | ModifierFlag::NONE, KeyCode::VK_CHANGE_INPUTSOURCE_HIRAGANA</autogen>
    <autogen>__KeyToKey__ KeyCode::K, VK_CONTROL | VK_OPTION | VK_COMMAND | ModifierFlag::NONE, KeyCode::VK_CHANGE_INPUTSOURCE_KATAKANA</autogen>
  </item>
</root>

See the private.xml documentation.

VK_CHANGE_INPUTSOURCE_ENGLISH is defined in vkchangeinputsourcedef.xml. You can see the IDs of input sources from EventViewer.app. Without | ModifierFlag::NONE for example the first setting would also apply to control-option-shift-command-E. See the source for the key code values and predefined settings.