I tried to set my windows key as the prefix key according to the instructions in the faq, but it didn't work, so I decided instead to use the grave key. (Backward apostrophe, to the left of 1). This worked, but in order to be able to continue to type the grave character if I needed to, which is rare, I programmed the windows key to type it. This works in xterm if I type shift-windows. If I type windows without shift, you would perhaps expect it to act as the prefix key, but it does nothing.
In addition, I programmed F9 to send the grave character, but this, as expected, has made F9 act the same as grave, i.e. as the prefix key.
Here is what I put in .xsession:
xmodmap -e "keycode 133 = grave"
xmodmap -e "keycode 75 = grave"
133 is the key code for the windows key on my keyboards. 75 is F9.
Here is what I put in .stumpwmrc
(set-prefix-key (stumpwm:kbd "`"))
It's ok as it is, but I am curious to know why the windows key is being intercepted, but not acting as you would expect, i.e. as the prefix key.