If for some reason you really want to avoid creating your own Tuple class, or using on built into .NET 4.0, there is one other approach possible; you can combine the three key values together into a single value.
For example, if the three values are integer types together not taking more than 64 bits, you could combine them into a ulong
.
Worst-case you can always use a string, as long as you make sure the three components in it are delimited with some character or sequence that does not occur inside the components of the key, for example, with three numbers you could try:
string.Format("{0}#{1}#{2}", key1, key2, key3)
There is obviously some composition overhead in this approach, but depending on what you are using it for this may be trivial enough not to care about it.