Basically keyloggers are sending you Spyware. Spyware are small programs whose primary task is to monitor your computer usage, and send them back to an email add, or using a FTP (file transfer protocol). It gathers the things that you type with your keyboards, sites you visited, files you download, even chatting conversation. It can even capture a screen shot of your screen. So just imagine if those things are taken from you, all your username and passwords, private files and other stuff that are not mend to be share, can be available to anyone.
So to check if you a kelogger is present in your PC, try scanning your PC with an antivirus. Antivirus tends to detect not only viruses but also malicious files like spyware. Since they are acting the same, antivirus detect spyware like ordinary virus. If a virus or spyware is new, an antivirus will detect it but cannot resolve it so you need to quarantine that virus/spyware first and send it to the antivirus manufacturer for them to look for solution, and later you can update your antivirus to solve that virus/spyware problem you got, but that takes time. The best way to do is to delete it already if an antivirus detects it. Or even format your PC just to make it sure the spyware is gone.
Another way of checking it is using a task manager (by press control-alt-delete). Some spyware tend to act as ordinary system files that runs during the system start up. Using the task manager, you can view all the “processes” that your computer is running. Most of those tasks are indicated running by placing a small icon on your taskbar, at the right side near the clock. Some spyware are running but they don’t show any icon. You can end that task in that task manager. But be careful on doing this. Make sure you are only ending those spyware tasks and not the system task. It may affect the performance of your PC or may shut down your PC. But still the best way to avid spyware is to deleted them with an antivirus or better yet, reformat your PC.
And to avoid them, you can also use a Deepfreeze. (learn about DeepFreeze in this article http://www.bukisa.com/articles/308630_how-to-protect-your-computer-from-viruses-and-other-malicious-programs)