Grimrock

In answer to your question, there is a gear key on levels 2,3,4, and 5. If it is the one on level 5 (ice level) that you are looking for, do the following: at the start of the level, when you first come down the stairs and turn into the passageway, don't take the corridor to the north that you can see, but continue straight ahead (or westwards on your map), past the spider eggs. Follow the corridor all the way (ignore the one to the south). You will come to a door. Beyond this is a trap door that opens/closes continuously. Next to this trap door (northwards) is an alcove. The gear key is in there

On level 4, the door with the small window is opened by a pressure plate. The pressure plate sets off a timer, giving you a short time to get back to the door before it closes. To find the pressure plate (which is hidden behind a secret wall), go west(left) from the door. Ignore the first corridor to the south you come across. Keep going west, until you see another one to the south. Take that, and keep heading south. At the point where the corridor turns to the east (or right), there is a secret button on the wall infront of you. Press that, and a wall opens. The pressure plate is inside. Stand on it to activate the timer, then run back to the door before it closes. Past the door is a teleporter that takes you to the final part of the map. The round key is used to open a door at the end of the level..

As soon as you enter the door that leads onto the 4 open pits, there is a secret button on the wall to your right. This closes the first pit. Step onto the closed pit. On the wall to your right is a secret button. This closes the next pit (number 2). Stand on the closed 2nd pit, and throw an item onto the plate. this will close the 3rd pit. Stand on the closed 3rd pit. There is a button on the left wall. Press that, and it opens a secret room behind you. The button to close the last pit is in there...

On the incineration level, where you meet Turkum, the incineration door is initially open. It will only close when a monster (non-human item-nothing else will teleport!) is teleported into the chamber and triggers a pressure plate which closes the door (use A,B,C to activate teleporter), OR if it walks in there by itself!. If you find that the door is already closed, then there is a monster in there already (poss one of the skeleton archers etc). If so, pull the lever next to the door to start incineration. Once complete, the door will open. This will reset the teleporter, so you need to reactivate it again if needed. NB: You should still be able to teleport other monsters into the chamber even though the door is closed, and then just pull the lever as mentioned before..Also, I'm not sure as to which steel grated door you are referring to? If it is on the same level as Turkum (level 5), then it is opened by a key. You need to kill Turkum to get it. If it is on level 4, then you have already made it to level 5, so wont be that important..Please let me know, as I'm a bit confused!