How do you use API keys in HTTP Requests?

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I am struggling to work out if there is a way to use an API key when trying to call data from an endpoint and if so, where would I put it?

var request = new XMLHttpRequest("Ocp-Apim-Subscription-Key: {KEY}")

// Open a new connection, using the GET request on the URL endpoint
request.open('GET', 'https://api.sportsdata.io/v3/mlb/scores/json/AreAnyGamesInProgress')

request.onload = function () {
  // Begin accessing JSON data here
  }

// Send request
request.send()
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