A keylogger or keystroke logger, is a type of spyware that monitors every stroke you type on the keyboard and gathers information used for identity theft, including account logins and passwords, which it sends to the hacker who put it there. Sometimes keyloggers get installed along with something else you are getting for "free" on the Web, but there are other ways too. See, "How do spyware and malware get onto my PC?" for more information on that.
To prevent keyloggers and other spyware or malware from being installed, use one or two anti-spyware programs in addition to your anti-virus software, keep them up to date and turn on the Internet protection features from the program's control panel. Always use a firewall, either one built in your cable/DSL modem or software in your PC. A software firewall is built into Microsoft Windows Vista and anti-virus software companies also make them, as do specialty firewall vendors. If you have a keylogger on your PC, check that your anti-spyware/anti-virus program lists keyloggers as something it protects you against, then scan your system with until it says your PC is clean.
Another risk to watch out for: Does anyone you are not 100% sure about have physical access to your computer? This could range from your last boyfriend to a co-worker at the office. Again the solution is anti-spyware/anti-virus programs, but if you have a concern you might want to take the additional step of creating a password for your desktop and hibernating the PC when you walk away from it. That prevents anyone from accessing it and installing a keylogger in your absence. To learn how, see "Protecting Your PC: Security Basics" in Windows Help.
Finally, whenever you can, use a personal digital security device in addition to a password for accessing your desktop or online accounts. (See also, What is two-factor authentication?)
For more information, visit the Interpol Web site on Information Technology Crime. See, What is a keystroke monitor, or keylogger?