You should have the "key", probably stored with the jack. The key is a piece that looks kinda like a socket and fits over and into the locked lug nut. Did you buy the car used?
Yep, it was used, and I could not find the key with the jack. Even the little pouch with the additional tools did not have it, and they all looked pretty new, and unused. Is there another way to remove that nut without the key?