A keystroke monitor (keystroke logger, keylogger) is a type of malware that monitors every stroke you type on the keyboard. It analyzes your keystrokes to gather information used for identity theft, including account logins and passwords, which it sends to the hacker.
Basic ways to protect yourself is to make sure your anti-virus program has firewalls, spam blockers and intrusion prevention to plugs holes left by software vulnerabilities.
Also remember to update your programs and install software patches as soon as they are made available.
Visit the Interpol Web site on Information Technology Crime to find more prevention techniques, and the latest efforts to prevent these kinds of crimes in the EU. See also, What is a keylogger and how can I protect myself against it?