What you need to do is set a state variable, and check it.
For example, make the following boolean array:
bool bKeyDown[8];
Add add this in KeyDown:
bKeyDown[KEY_RIGHT] = true;
// or LEFT, UP, DOWN, A, B, C, etc
And this in KeyUp:
bKeyDown[KEY_RIGHT] = false;
Then you can check the bKeyDown array.