Yes. The security guard is in the Clown Store trying to cheer himself up, because he feels guilty about letting "The Scream" get stolen. You need his timecard to check the security video at the museum.
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After the painting is stolen, that is what you have to find out. You need the timecard from the security guard (who is now in the Clown Store), and the security videos of the museum Security Office. Once you have a photo of the thief, show it to the mimes in Downtown, who will give you the clue to find and chase the crook.
The townspeople give you lots of hints, and sure enough he is at the Clown Store. Get his timecard and then go over the museum videos.Following the theft of the painting, the security guard (Cpt. Happy Foot) is missing. The townspeople will give you hints that he would "need some cheering up", and you will locate him at the Clown Store. His time card shows when the painting must have been stolen.
There is no key. Go upstairs to find the painting.
You can't find the key. Eventually it will just be given to you in the course of the game.
The key card is dropped at the end of the scooter chase. It is used much later in the game.