A King's Door is a gate to one of the 777,777 universes in the multiverse. They were built by the Demiurges (not the gods) and can be opened or closed with a Key of Kings. Throne is full of them. The King's Road runs between (possibly "impressions" of) each gate within the Void, a realm within which distances can be traveled through faster than normal. There are two sets of King's Doors. The doors are built in both the Void and in Throne and line up. When one embarks on the King's Road through a door, it is usually guarded and one will need a writ with their embarkation/disembarkation points.
Besides enhancing the wielder, each Key of Kings can permit or restrict access to a single universe. The Seven today are varying degrees of powerful, but it is unknown whether any of them would be able to cut their way to a closed world, if they cared enough to do so. It should be noted that Allison teleported out of a closed universe into the Void.