bool lastKeyUp, lastKeyDown, lastKeyLeft, lastKeyRight;

/* start of update function */
bool keyUp, keyDown, keyLeft, keyRight;
keyUp = Keyboard.GetState().IsKeyDown(Keys.Up);
keyDown = Keyboard.GetState().IsKeyDown(Keys.Down);
// etc...

/* when you want to test if a key was just released */
if (!keyLeft && lastKeyLeft) {
    /* key left just released! */
}

/* end of update function */
lastKeyUp = keyUp;
lastKeyDown = keyDown;
// etc...