The plus sign (+) means “press these keys down together” while the comma (,) means “let go of all keys”. For example, this: OPTION + e, letter means “Press the option and ‘E’ key at the same time, then release them. Now type the letter that you want.”

To make an uppercase version of any of these letters, simply hold down SHIFT when you type the letter, after entering the modifier key combination.

For the Windows key combinations to work, you have to use the United States International keyboard layout. Details on how to configure this are found on this Microsoft support page.