DKIM - configuration question - HOW?
You probably have to ask your hosting provider to do this. 

CiviCRM doesn't have an interface to provide DKIM keys; OpenDKIM runs as a separate process alongside the MTA on your hosting environment.

Your key will most likely end up in /etc/opendkim, but that really depends on your hosting environment. DigitalOcean have a pretty straightforward DKIM HOWTO for Debian, if you have control of your server.