Yes, it is a little confusing if you've never used a Spectrum before!
I can't remember how ZXAM maps the keys (though I used it a lot on my A1200, I remember). However, it'll be one of the shift, ctrl or alt keys.
Find out by pressing REM (type E with a K cursor), then press another letter like P with various keys. If you get a 'p' then it's no shifted. If you get a 'P' it's CAPS SHIFT you're holding down, and if it's a quote ' " ' then it's SYMBOL SHIFT you're holding. Go into Extended Mode by pressing CAPS SHIFT and SYMBOL SHIFT together and you'll see the cursor change to 'E'. Then just press a key to get the word above the letter, or hold down one of the shift keys to get the word below the letter.
I think that makes sense.
You'll get used to it before long, though.