Underline Keyboard Shortcuts

Is there a way to have MAC OSX inform it's user of what keyboard shortcuts are available like Windows does (explained in this article: Show Keyboard Shortcut Access Keys in Windows Vista - How-To Geek

For example, when I delete a song from iTunes, how am I supposed to know that Command+M moves the file to trash? It would be so helpful if the M was underlined (like Windows).

That's just not the way OSX works

I guess they feel putting underlines on letters is just a bit cluncky