I don't know if it is my mistake but when I try to pick up the blue and yellow keys a message appears: You cannot carry any more.
Any tip? Or I 'll be freezing there
This isn't a glitch per se, at least it isn't if your inventory is full. Try clicking the bag and seeing if it's full or not. If it isn't full, then try contacting MS (Midnight Synergy) about it.
Do you mean you cannot put the keys in your bag? Or that you cannot use the keys in your bag?
If you cannot place the keys in your bag, you can either buy a bigger bag, or you need to use the keys (mushroom keys etc.) where they need to be used before you can pick up anything else.
If you cannot use the keys in your bag, you are either trying to open the wrong gates, or yes, you have encountered some sort of glitch.
Hope that helps.
jg