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:
In the latest versio of Alfred, you can follow this: Features -> Contacts, then click 'Email' tab. By default, after invoking Alfred, if you type 'email' (followed the email address of the contact), then you can get the new message window. This is not exactly a keyboard shortbut, but very close.