Another good way to protect yourself against things like that (in addition to what's already mentioned) is to run an application protection program. I use BlackIce, it's a lousy firewall so i have that part disabled, but it will also pop up a confirmation box when any program executes giving me the option to run or terminate. It keeps a baseline, so you'll only have to add things once, and it has saved me twice from programs that tried to execute and that my virus checker did not pick up.
Your other stop is a good firewall - if someone is logging your keystrokes there will need to be an outgoing connection at some point from that program in order to impart the information. Use a learning firewall that blocks all traffic and allows you to add by application - that way you have complete control over what applications send information in and out. I use Kerio which i find to be great, i believe ZoneAlarm is free and also supposed to be good.
www.winfiles.com is bound to have some alternatives to the ones i've listed
EDIT - and to answer your last question, a key logger isn't classed as a virus,but most decent virus scanners will routinely scan for backdoor exploits like trojan horses that aren't viruses, so you may well find that a few common key loggers are included in the scan.
[ 02-16-2004, 10:38 PM: Message edited by: shamrock_uk ]