Dance the Night Away by The Mavericks is in the key of E major. The E major scale consists of the notes E, F#, G#, A, B, C#, D#, and E an octave up. Every note Marko has identified is in the E major scale. Often the first note of a song identifies the key, as in Dance the Night Away where the first note is an E. Even more often, the last note of a song identifies the key (e.g. ending on E or the root note of the scale). The key in which a song is written determines which suite of notes (scale) sound good or work for that song.
We all, even those of us who have just picked up an instrument for the first time, know when a note just sounds wrong in relation to the other notes of the melody.
Some songs change key, usually preceded by a bridge, but most rock/pop/indie/country (i.e. popular music heard on the radio) do not. Songs do not change key with every bar. The root note of the chord played very likely changes with each bar, in a larger repetitive pattern that gives the song a melody, but each root note will almost always come from the scale (or key) used to compose the song.
You can figure out the key in which a song is written by figuring out the notes used in the song and then fitting them into a scale of notes, E major in Marko's example. Another way is to look at the sheet music for the song and read the key signature at the top left of the first staff. However, be aware that versions by someone other than the original artist may be transposed to accommodate the singer's vocal range, as Chuck notes.
Thank you all. You gave me more than I was expecting. I have a great starting point & I feel I will be able to refer back to some of the more in depth answers, that went a bit over my head at his point, to progress later.
Learn your major and minor scales. One you have those mastered, you'll be well versed and knowledgeable of the circle of 5ths and 4ths, which will help you identify the major and minor keys like they're second nature.