|You didn't give much detail.|
Which Dell CPi series and model do you have?
What type of connection does your external keyboard use? If it is USB connected, in most bioses you must turn on support for USB Legacy devices (it's primarily for keyboards, mice) in the bios - that setting is often off by default. If that is not turned on, you can't get into the bios with a USB connected keyboard - you have to use a PS/2 connected keyboard, or the computers built in keyboard.
If there is no such setting in your bios, you may not be able to use a USB connected keyboard as an external keyboard.
Are you sure you are pressing the right keys?
If not I found this - I assume this is the same for your model.
According to this the keys you press on an external keyboard are different, and will not work unless the External Hot Key option is already turned on in the bios.
Using the System Setup Program: Dell Latitude CPi A-Series System User's Guide
Entering the System Setup Program
Enter and use the System Setup program as follows:
If you are using Windows 95 (or 98/98SE/ME), press <FN><F1> at any time on the built-in keyboard (or <Scroll Lock><F1> on an external keyboard if the External Hot Key option is enabled). If you press <FN><F3> (or <Scroll Lock><F3> on an external keyboard if the External Hot Key option is enabled), the System Setup program opens directly to the battery status screen.
If you are using Windows NT 4.0, close all open application programs and exit the operating system. When prompted, reboot the computer and press <FN>< F1> (or <Scroll Lock><F1> from an external keyboard if the External Hot Key option is enabled). If you wait too long and your operating system begins to load into memory, let the system complete the load operation; then shut down the computer and try again.
In either operating system, press <Esc> to exit the System Setup program. If you change the setting of an option that requires rebooting in order to take effect, exit the operating system before rebooting. (The Help text in the upper-right corner of System Setup screens 1, 2, and 4 tells you if the computer must be rebooted.)
Troubleshooting pdf here:
Page 25 of pdf - getting into, using System Setup (bios Setup)
Page 59 of pdf - details external keyboard tshooting.
If you are already using a PS/2 mouse, the PS/2 port supports both mice and keyboards - to use both, you need a Y cable (PS/2 male to 2 PS/2 female) - you don't need a mouse in this bios in any case.
Both your built in and external keyboard will work when an external one is connected (if it is PS/2, or USB and support for it is turned on in the bios).
Lots of documents here: