How could I create a key shortcut in OS X Lion so when I am using Safari, I type these keys and inmediately a "New Message" window from Mail.app shows up?
You have several options how to do this without third party software.
The easiest way is to create a Service in Automator:
Open Automator, create a new Service that receives no input in any application and add a single New Mail Message action. Customize some field (e.g. recipient) you want to set default values for.
Save as any name, and it's available in every application's Services menu. Assign a keyboard shortcut in System Preferences » Keyboard » Keyboard Shortcuts » Services.
Another options is AppleScript:
This uses Mail's API that behaves slightly differently than the UI in Lion with full-screen mode. You have most flexibility using AppleScript if you have additional requirements, but it's more difficult.
Open Automator like described above, and create a Service with a single Run AppleScript action. Paste the code into its text box.
The Services menu already has several services related to email by default, you just need to assign keyboard shortcuts:
Alfred (with the Powerpack) provides an easy way to assign shortcuts to scripts as well: