Greetings. I am using MS VISTA and Excel 2007.

When I am using a filter, I have to right mouse click to get "Filter" and
then "Filter by Selected Cell's Value."

Then is somewhat time consuming. Is there any way to reduce these three
mouse clicks, say by using a hotkey or shotcut key? I searched the help file
but I couldn't find any mention of such keys for filters.

You could create a simple macro and assign a shortcut key to it.
For example,

Sub Filter()
ActiveSheet.Range("$A:$B").AutoFilter Field:=1,
Criteria1:=ActiveCell.Value
End Sub