No. You only push down on the keys when you're holding the instrument upside-down. And it doesn't play very well that way. I don't think Bob explained that part very well, but then I probably won't do much better. A diagram is worth a thousand words.

One side of the keyboard (away from the player) has the keys you press. Press a key, this pushes a rod through the slots, and you can see the narrow ends of the rods from where you're sitting, on "your" side of the instrument. There is a hole in the rod, into which is inserted the peg of the "flag" (more properly called a tangent). The edge of the flag makes contact with the string and essentially "frets" it to change the note. The melody string(s) is on the wheel, if you don't press a key you'll hear the pitch of the open string. Press the keys in some sort of order and you'll likely play a tune on this string.