in entity framework code first, how to use KeyAttribute on multiple columns

You can specify the column order in the attributes, for instance:

public class MyEntity
{
    [Key, Column(Order=0)]
    public int MyFirstKeyProperty { get; set; }

    [Key, Column(Order=1)]
    public int MySecondKeyProperty { get; set; }

    [Key, Column(Order=2)]
    public string MyThirdKeyProperty { get; set; }

    // other properties
}

If you are using the Find method of a DbSet you must take this order for the key parameters into account.

To complete the correct answer submitted by Slauma, you can use the HasKey method to specify an order for composite primary keys as well:

public class User
{        
    public int UserId { get; set; }       
    public string Username { get; set; }        
}        

public class Ctp5Context : DbContext
{
    public DbSet<User> Users { get; set; }        

    protected override void OnModelCreating(ModelBuilder modelBuilder)
    {
        modelBuilder.Entity<User>().HasKey(u => new 
        { 
            u.UserId, 
            u.Username 
        });
    }
}

If, like me, you prefer to use a configuration file you can do that in this way (based on Manavi's example):

public class User
{
    public int UserId { get; set; }
    public string Username { get; set; }
}  

public class UserConfiguration : EntityTypeConfiguration<User>
{
    public UserConfiguration()
    {
        ToTable("Users");
        HasKey(x => new {x.UserId, x.Username});
    }
}

Obviously you have to add the configuration file to your context:

public class Ctp5Context : DbContext
{
    public DbSet<User> Users { get; set; }        

    protected override void OnModelCreating(ModelBuilder modelBuilder)
    {
         modelBuilder.Configurations.Add(new UserConfiguration());
    }
}